Add hub-only OKX amp stats for ETH/BTC session windows.
Read-only 1H index candles, point amplitude metrics, history save and CSV export; no order-path changes. Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
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"""中控振幅统计:OKX 指数(可降级永续)按时段切窗,点数口径.
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仅只读行情;不触及下单链路.
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"""
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from __future__ import annotations
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import csv
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import io
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import statistics
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from datetime import date, datetime, timedelta
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from typing import Any, Callable, Optional
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from zoneinfo import ZoneInfo
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import httpx
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APP_TZ = ZoneInfo("Asia/Shanghai")
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END_HOUR = 16
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EXCHANGE = "okx"
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TIMEFRAME = "1H"
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SYMBOLS: dict[str, dict[str, str]] = {
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"eth": {
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"label": "ETH",
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"index_inst": "ETH-USD",
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"swap_inst": "ETH-USDT-SWAP",
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},
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"btc": {
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"label": "BTC",
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"index_inst": "BTC-USD",
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"swap_inst": "BTC-USDT-SWAP",
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},
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}
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PERIOD_DAYS: dict[str, int] = {
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"1m": 30,
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"2m": 60,
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"3m": 90,
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"6m": 180,
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"1y": 365,
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}
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OKX_INDEX_CANDLES = "https://www.okx.com/api/v5/market/index-candles"
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OKX_SWAP_CANDLES = "https://www.okx.com/api/v5/market/candles"
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def normalize_symbol(raw: str) -> str:
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s = (raw or "").strip().lower()
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if s in ("eth", "ethereum"):
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return "eth"
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if s in ("btc", "bitcoin"):
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return "btc"
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raise ValueError("symbol 仅支持 eth / btc")
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def resolve_sample_days(period: str, custom_days: Any = None) -> int:
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p = (period or "2m").strip().lower()
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if p == "custom":
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try:
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n = int(custom_days)
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except (TypeError, ValueError):
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raise ValueError("自定义天数无效") from None
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return max(7, min(400, n))
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if p not in PERIOD_DAYS:
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raise ValueError("周期无效")
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return PERIOD_DAYS[p]
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def window_bounds_for_settlement(settlement: date, start_hour: int) -> tuple[datetime, datetime]:
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"""返回 [start, end) 的本地时刻;end 为结算日 16:00."""
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if not (0 <= int(start_hour) <= 23):
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raise ValueError("起点须为 0-23 整点")
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end = datetime(settlement.year, settlement.month, settlement.day, END_HOUR, 0, 0, tzinfo=APP_TZ)
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sh = int(start_hour)
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if sh >= END_HOUR:
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prev = settlement - timedelta(days=1)
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start = datetime(prev.year, prev.month, prev.day, sh, 0, 0, tzinfo=APP_TZ)
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else:
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start = datetime(settlement.year, settlement.month, settlement.day, sh, 0, 0, tzinfo=APP_TZ)
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return start, end
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def list_settlement_dates(*, sample_days: int, now: Optional[datetime] = None) -> list[date]:
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"""最近 sample_days 个已收窗结算日(不含进行中的今天未到 16:00)."""
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now = now or datetime.now(APP_TZ)
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if now.tzinfo is None:
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now = now.replace(tzinfo=APP_TZ)
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else:
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now = now.astimezone(APP_TZ)
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today = now.date()
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today_end = datetime(today.year, today.month, today.day, END_HOUR, 0, 0, tzinfo=APP_TZ)
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latest = today if now >= today_end else today - timedelta(days=1)
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return [latest - timedelta(days=i) for i in range(int(sample_days))]
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def _safe_float(v: Any) -> Optional[float]:
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try:
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if v is None or v == "":
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return None
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return float(v)
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except (TypeError, ValueError):
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return None
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def bars_to_map(bars: list[dict[str, Any]]) -> dict[int, dict[str, float]]:
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"""open_time_ms -> {o,h,l,c}."""
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m: dict[int, dict[str, float]] = {}
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for b in bars or []:
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if not isinstance(b, dict):
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continue
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ts = b.get("ts")
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if ts is None:
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ts = b.get("open_time_ms")
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try:
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ts_i = int(ts)
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except (TypeError, ValueError):
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continue
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o = _safe_float(b.get("o") if "o" in b else b.get("open"))
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h = _safe_float(b.get("h") if "h" in b else b.get("high"))
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l = _safe_float(b.get("l") if "l" in b else b.get("low"))
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c = _safe_float(b.get("c") if "c" in b else b.get("close"))
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if None in (o, h, l, c):
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continue
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m[ts_i] = {"o": float(o), "h": float(h), "l": float(l), "c": float(c)}
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return m
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def compute_day_row(
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settlement: date,
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start_hour: int,
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bar_map: dict[int, dict[str, float]],
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) -> Optional[dict[str, Any]]:
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start, end = window_bounds_for_settlement(settlement, start_hour)
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start_ms = int(start.timestamp() * 1000)
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# 1H 棒覆盖 [T, T+1h);窗终点 16:00 用 15:00 棒的 close
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last_bar_ms = int((end - timedelta(hours=1)).timestamp() * 1000)
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if start_ms not in bar_map or last_bar_ms not in bar_map:
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return None
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opens = bar_map[start_ms]["o"]
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close = bar_map[last_bar_ms]["c"]
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hi = bar_map[start_ms]["h"]
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lo = bar_map[start_ms]["l"]
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t = start_ms
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while t <= last_bar_ms:
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b = bar_map.get(t)
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if b:
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hi = max(hi, b["h"])
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lo = min(lo, b["l"])
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t += 3600 * 1000
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up = hi - opens
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down = opens - lo
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amp = hi - lo
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change = close - opens
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return {
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"settlement_day": settlement.isoformat(),
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"window_start": start.strftime("%Y-%m-%d %H:%M"),
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"window_end": end.strftime("%Y-%m-%d %H:%M"),
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"open": round(opens, 4),
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"high": round(hi, 4),
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"low": round(lo, 4),
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"close": round(close, 4),
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"up_points": round(up, 4),
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"down_points": round(down, 4),
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"amplitude": round(amp, 4),
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"change": round(change, 4),
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}
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def summarize_rows(rows: list[dict[str, Any]]) -> dict[str, Any]:
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if not rows:
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return {
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"sample_count": 0,
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"max_amplitude": None,
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"max_amplitude_day": None,
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"avg_amplitude": None,
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"median_amplitude": None,
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"max_up_points": None,
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"avg_up_points": None,
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"max_down_points": None,
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"avg_down_points": None,
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"up_day_ratio": None,
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"down_day_ratio": None,
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}
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amps = [float(r["amplitude"]) for r in rows]
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ups = [float(r["up_points"]) for r in rows]
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downs = [float(r["down_points"]) for r in rows]
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max_amp = max(amps)
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max_amp_day = next(r["settlement_day"] for r in rows if float(r["amplitude"]) == max_amp)
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up_days = sum(1 for r in rows if float(r["change"]) > 0)
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down_days = sum(1 for r in rows if float(r["change"]) < 0)
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n = len(rows)
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return {
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"sample_count": n,
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"max_amplitude": round(max_amp, 4),
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"max_amplitude_day": max_amp_day,
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"avg_amplitude": round(statistics.fmean(amps), 4),
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"median_amplitude": round(statistics.median(amps), 4),
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"max_up_points": round(max(ups), 4),
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"avg_up_points": round(statistics.fmean(ups), 4),
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"max_down_points": round(max(downs), 4),
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"avg_down_points": round(statistics.fmean(downs), 4),
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"up_day_ratio": round(up_days / n, 4),
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"down_day_ratio": round(down_days / n, 4),
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}
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def _parse_okx_candle_row(row: list) -> Optional[dict[str, Any]]:
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if not row or len(row) < 5:
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return None
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try:
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ts = int(row[0])
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o, h, l, c = float(row[1]), float(row[2]), float(row[3]), float(row[4])
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except (TypeError, ValueError, IndexError):
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return None
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return {"ts": ts, "o": o, "h": h, "l": l, "c": c}
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def fetch_okx_candles(
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*,
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url: str,
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inst_id: str,
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since_ms: int,
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until_ms: int,
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bar: str = "1H",
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client: Optional[httpx.Client] = None,
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timeout: float = 30.0,
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) -> list[dict[str, Any]]:
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"""拉取 [since_ms, until_ms] 覆盖的 K 线(含边界).OKX 返回新→旧."""
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own = client is None
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client = client or httpx.Client(
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timeout=timeout,
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trust_env=False,
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headers={"User-Agent": "crypto_monitor-amp-stats/1.0"},
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)
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try:
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out: dict[int, dict[str, Any]] = {}
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after: Optional[str] = None
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for _ in range(80):
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params: dict[str, str] = {"instId": inst_id, "bar": bar, "limit": "100"}
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if after:
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params["after"] = after
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r = client.get(url, params=params)
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r.raise_for_status()
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body = r.json()
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if str(body.get("code") or "") not in ("0", "0.0", ""):
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raise RuntimeError(body.get("msg") or f"OKX error {body.get('code')}")
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data = body.get("data") or []
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if not data:
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break
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oldest_ts = None
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for row in data:
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parsed = _parse_okx_candle_row(row)
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if not parsed:
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continue
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ts = int(parsed["ts"])
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oldest_ts = ts if oldest_ts is None else min(oldest_ts, ts)
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if ts < since_ms - 3600 * 1000:
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continue
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if ts > until_ms + 3600 * 1000:
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continue
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out[ts] = parsed
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if oldest_ts is None:
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break
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if oldest_ts <= since_ms:
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break
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after = str(oldest_ts)
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return [out[k] for k in sorted(out.keys())]
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finally:
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if own:
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client.close()
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def fetch_symbol_bars(
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symbol: str,
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*,
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since_ms: int,
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until_ms: int,
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fetch_fn: Optional[Callable[..., list[dict[str, Any]]]] = None,
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) -> tuple[list[dict[str, Any]], str, str]:
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"""返回 (bars, price_source_label, inst_id)."""
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key = normalize_symbol(symbol)
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meta = SYMBOLS[key]
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if fetch_fn:
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bars = fetch_fn(inst_id=meta["index_inst"], since_ms=since_ms, until_ms=until_ms)
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return bars, f"okx_index:{meta['index_inst']}", meta["index_inst"]
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try:
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bars = fetch_okx_candles(
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url=OKX_INDEX_CANDLES,
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inst_id=meta["index_inst"],
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since_ms=since_ms,
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until_ms=until_ms,
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)
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if bars:
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return bars, f"okx_index:{meta['index_inst']}", meta["index_inst"]
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except Exception:
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bars = []
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bars = fetch_okx_candles(
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url=OKX_SWAP_CANDLES,
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inst_id=meta["swap_inst"],
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since_ms=since_ms,
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until_ms=until_ms,
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)
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if not bars:
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raise RuntimeError("OKX 指数与永续 K 线均无数据")
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return bars, f"okx_swap:{meta['swap_inst']}", meta["swap_inst"]
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def compute_amp_stats(
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*,
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symbol: str = "eth",
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start_hour: int = 16,
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period: str = "2m",
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custom_days: Any = None,
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now: Optional[datetime] = None,
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fetch_fn: Optional[Callable[..., list[dict[str, Any]]]] = None,
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) -> dict[str, Any]:
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key = normalize_symbol(symbol)
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sh = int(start_hour)
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if sh < 0 or sh > 23:
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raise ValueError("起点须为 0-23 整点")
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sample_days = resolve_sample_days(period, custom_days)
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settlements = list_settlement_dates(sample_days=sample_days, now=now)
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if not settlements:
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raise RuntimeError("无可用结算日")
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# 最远窗起点
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oldest = settlements[-1]
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newest = settlements[0]
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start0, _ = window_bounds_for_settlement(oldest, sh)
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_, end1 = window_bounds_for_settlement(newest, sh)
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since_ms = int(start0.timestamp() * 1000)
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until_ms = int(end1.timestamp() * 1000)
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bars, price_source, inst_id = fetch_symbol_bars(
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key, since_ms=since_ms, until_ms=until_ms, fetch_fn=fetch_fn
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)
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bar_map = bars_to_map(bars)
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rows: list[dict[str, Any]] = []
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missing: list[str] = []
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for d in settlements:
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row = compute_day_row(d, sh, bar_map)
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if row is None:
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missing.append(d.isoformat())
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continue
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rows.append(row)
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summary = summarize_rows(rows)
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period_label = period if period != "custom" else f"custom:{sample_days}"
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return {
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"ok": True,
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"exchange": EXCHANGE,
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"symbol": key,
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"symbol_label": SYMBOLS[key]["label"],
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"start_hour": sh,
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"end_hour": END_HOUR,
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"period": period_label,
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"sample_days_requested": sample_days,
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"timeframe": TIMEFRAME,
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"price_source": price_source,
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"inst_id": inst_id,
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"timezone": "Asia/Shanghai",
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"rows": rows,
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"summary": summary,
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"missing_days": missing[:30],
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"missing_count": len(missing),
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}
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def rows_page(rows: list[dict[str, Any]], *, page: int = 1, page_size: int = 20) -> dict[str, Any]:
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page = max(1, int(page or 1))
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page_size = max(5, min(100, int(page_size or 20)))
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total = len(rows)
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start = (page - 1) * page_size
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chunk = rows[start : start + page_size]
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return {
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"page": page,
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"page_size": page_size,
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"total": total,
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"total_pages": max(1, (total + page_size - 1) // page_size) if total else 1,
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"rows": chunk,
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}
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def build_export_csv(payload: dict[str, Any]) -> str:
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buf = io.StringIO()
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# Excel 友好 BOM
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buf.write("\ufeff")
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w = csv.writer(buf)
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s = payload.get("summary") or {}
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w.writerow(["【统计摘要】"])
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w.writerow(["交易所", payload.get("exchange")])
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w.writerow(["标的", payload.get("symbol_label")])
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w.writerow(["价源", payload.get("price_source")])
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w.writerow(["起点整点", f"{payload.get('start_hour')}:00"])
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w.writerow(["终点", f"{payload.get('end_hour')}:00"])
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w.writerow(["周期", payload.get("period")])
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w.writerow(["样本数", s.get("sample_count")])
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w.writerow(["最大振幅", s.get("max_amplitude"), "日期", s.get("max_amplitude_day")])
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w.writerow(["振幅均值", s.get("avg_amplitude"), "中位数", s.get("median_amplitude")])
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w.writerow(["开→高最大", s.get("max_up_points"), "均值", s.get("avg_up_points")])
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w.writerow(["开→低最大", s.get("max_down_points"), "均值", s.get("avg_down_points")])
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w.writerow(["上涨窗占比", s.get("up_day_ratio"), "下跌窗占比", s.get("down_day_ratio")])
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w.writerow([])
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w.writerow(["【日表明细】"])
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w.writerow(
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[
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"结算日",
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"窗起点",
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"窗终点",
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"开盘",
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"最高",
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"最低",
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"收盘",
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"开→高",
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"开→低",
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"振幅",
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"涨跌值",
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]
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)
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for r in payload.get("rows") or []:
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w.writerow(
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[
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r.get("settlement_day"),
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r.get("window_start"),
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r.get("window_end"),
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r.get("open"),
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r.get("high"),
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r.get("low"),
|
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r.get("close"),
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r.get("up_points"),
|
||||
r.get("down_points"),
|
||||
r.get("amplitude"),
|
||||
r.get("change"),
|
||||
]
|
||||
)
|
||||
return buf.getvalue()
|
||||
|
||||
|
||||
def export_filename(payload: dict[str, Any]) -> str:
|
||||
sym = (payload.get("symbol") or "eth").lower()
|
||||
sh = int(payload.get("start_hour") or 16)
|
||||
period = str(payload.get("period") or "2m").replace(":", "")
|
||||
day = datetime.now(APP_TZ).strftime("%Y%m%d")
|
||||
return f"okx_{sym}_amp_{sh}to16_{period}_{day}.csv"
|
||||
Reference in New Issue
Block a user