Split exchange and strategy modules for future Binance support.

Co-authored-by: Cursor <cursoragent@cursor.com>
2026-07-25 08:43:09 +08:00
parent 3957a83761
commit e19bb452f9
27 changed files with 1504 additions and 1048 deletions
@@ -0,0 +1,124 @@
+from __future__ import annotations
+
+import threading
+import time
+from typing import Iterable
+
+from .types import BookLevel, MarketSnapshot, OptionPair, Quote
+
+
+class BookCache:
+    """内存盘口缓存：永续 + Call/Put。线程安全。"""
+
+    def __init__(self) -> None:
+        self._lock = threading.RLock()
+        self._quotes: dict[str, Quote] = {}
+        self._index_px: float | None = None
+        self._pair: OptionPair | None = None
+        self._connected = False
+        self._updated_at_ms: int | None = None
+
+    def set_connected(self, ok: bool) -> None:
+        with self._lock:
+            self._connected = bool(ok)
+
+    def set_pair(self, pair: OptionPair | None) -> None:
+        with self._lock:
+            self._pair = pair
+
+    def set_index_px(self, px: float | None) -> None:
+        with self._lock:
+            if px is not None and px > 0:
+                self._index_px = float(px)
+                self._touch()
+
+    def upsert_book(
+        self,
+        inst_id: str,
+        *,
+        bids: list[BookLevel],
+        asks: list[BookLevel],
+        ts_ms: int | None = None,
+    ) -> None:
+        with self._lock:
+            q = self._quotes.get(inst_id) or Quote(inst_id=inst_id)
+            q.bids = bids
+            q.asks = asks
+            q.bid = bids[0].px if bids else None
+            q.ask = asks[0].px if asks else None
+            q.bid_sz = bids[0].sz if bids else None
+            q.ask_sz = asks[0].sz if asks else None
+            if ts_ms is not None:
+                q.ts_ms = ts_ms
+            self._quotes[inst_id] = q
+            self._touch(ts_ms)
+
+    def upsert_top(
+        self,
+        inst_id: str,
+        *,
+        bid: float | None,
+        ask: float | None,
+        bid_sz: float | None = None,
+        ask_sz: float | None = None,
+        ts_ms: int | None = None,
+    ) -> None:
+        with self._lock:
+            q = self._quotes.get(inst_id) or Quote(inst_id=inst_id)
+            if bid is not None:
+                q.bid = bid
+            if ask is not None:
+                q.ask = ask
+            if bid_sz is not None:
+                q.bid_sz = bid_sz
+            if ask_sz is not None:
+                q.ask_sz = ask_sz
+            if ts_ms is not None:
+                q.ts_ms = ts_ms
+            # 同步一层盘口，便于 snapshot 展示
+            if bid is not None and bid_sz is not None:
+                q.bids = [BookLevel(px=bid, sz=bid_sz)] + q.bids[1:]
+            if ask is not None and ask_sz is not None:
+                q.asks = [BookLevel(px=ask, sz=ask_sz)] + q.asks[1:]
+            self._quotes[inst_id] = q
+            self._touch(ts_ms)
+
+    def set_mark_px(self, inst_id: str, mark_px: float | None, ts_ms: int | None = None) -> None:
+        with self._lock:
+            if mark_px is None or mark_px <= 0:
+                return
+            q = self._quotes.get(inst_id) or Quote(inst_id=inst_id)
+            q.mark_px = float(mark_px)
+            if ts_ms is not None:
+                q.ts_ms = ts_ms
+            self._quotes[inst_id] = q
+            self._touch(ts_ms)
+
+    def get(self, inst_id: str) -> Quote | None:
+        with self._lock:
+            return self._quotes.get(inst_id)
+
+    def drop_except(self, keep: Iterable[str]) -> None:
+        keep_set = set(keep)
+        with self._lock:
+            for k in list(self._quotes):
+                if k not in keep_set:
+                    del self._quotes[k]
+
+    def snapshot(self, perp_inst_id: str) -> MarketSnapshot:
+        with self._lock:
+            pair = self._pair
+            call = self._quotes.get(pair.call_inst_id) if pair else None
+            put = self._quotes.get(pair.put_inst_id) if pair else None
+            return MarketSnapshot(
+                perp=self._quotes.get(perp_inst_id),
+                call=call,
+                put=put,
+                index_px=self._index_px,
+                pair=pair,
+                connected=self._connected,
+                updated_at_ms=self._updated_at_ms,
+            )
+
+    def _touch(self, ts_ms: int | None = None) -> None:
+        self._updated_at_ms = int(ts_ms) if ts_ms is not None else int(time.time() * 1000)