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 +1,108 @@
+"""OKX 交易所适配器：只负责行情与合约，不含策略选约。"""
+
+from __future__ import annotations
+
+import logging
+from typing import Any, Sequence
+
+from ...config import Settings, get_settings
+from ..book_cache import BookCache
+from ..types import BookLevel, MarketSnapshot, OptionPair, Quote
+from .parse import rows_to_option_contracts, safe_float
+from .rest import OkxRestClient
+from .ws import OkxPublicWs
+
+logger = logging.getLogger(__name__)
+
+
+class OkxExchange:
+    name = "okx"
+
+    def __init__(self, settings: Settings | None = None) -> None:
+        self.settings = settings or get_settings()
+        self.cache = BookCache()
+        proxy = self.settings.okx_http_proxy or None
+        self.rest = OkxRestClient(self.settings.okx_rest_base, proxy=proxy)
+        self.ws = OkxPublicWs(self.settings.okx_ws_public, self.cache, proxy=proxy)
+        self._started = False
+        self._ct_cache: dict[str, float] = {}
+
+    async def start(self) -> None:
+        if self._started:
+            return
+        self._started = True
+        await self.ws.start()
+        logger.info("OKX exchange started")
+
+    async def stop(self) -> None:
+        self._started = False
+        await self.ws.stop()
+        self.rest.close()
+        logger.info("OKX exchange stopped")
+
+    def list_option_contracts(self, family: str) -> list[dict[str, Any]]:
+        rows = self.rest.fetch_option_instruments(family)
+        contracts = rows_to_option_contracts(rows)
+        for c in contracts:
+            if c.get("ct_mult"):
+                self._ct_cache[str(c["inst_id"])] = float(c["ct_mult"])
+        return contracts
+
+    def fetch_index(self, index_id: str) -> float | None:
+        return self.rest.fetch_index_ticker(index_id)
+
+    def fetch_mark(self, inst_id: str) -> float | None:
+        return self.rest.fetch_mark_price(inst_id)
+
+    def fetch_book(
+        self, inst_id: str, depth: int = 5
+    ) -> tuple[list[BookLevel], list[BookLevel], int | None]:
+        return self.rest.fetch_books(inst_id, sz=depth)
+
+    def get_ct_mult(self, option_inst_id: str, family: str, default: float) -> float:
+        if option_inst_id in self._ct_cache:
+            return self._ct_cache[option_inst_id]
+        try:
+            rows = self.rest.fetch_instruments(inst_type="OPTION", inst_family=family)
+            for r in rows:
+                if str(r.get("instId")) == option_inst_id:
+                    m = safe_float(r.get("ctMult"))
+                    if m and m > 0:
+                        self._ct_cache[option_inst_id] = float(m)
+                        return float(m)
+        except Exception:
+            pass
+        return float(default)
+
+    def set_pair(self, pair: OptionPair | None) -> None:
+        self.cache.set_pair(pair)
+
+    def warm_and_subscribe(self, inst_ids: Sequence[str]) -> None:
+        ids = [i for i in inst_ids if i]
+        for inst in ids:
+            bids, asks, ts = self.rest.fetch_books(inst, sz=5)
+            self.cache.upsert_book(inst, bids=bids, asks=asks, ts_ms=ts)
+            mp = self.rest.fetch_mark_price(inst)
+            if mp:
+                self.cache.set_mark_px(inst, mp)
+        keep = set(ids)
+        self.cache.drop_except(keep)
+        self.ws.set_instruments(ids)
+
+    async def resubscribe(self, inst_ids: Sequence[str]) -> None:
+        await self.ws.resubscribe([i for i in inst_ids if i])
+
+    def quote(self, inst_id: str) -> Quote | None:
+        return self.cache.get(inst_id)
+
+    def snapshot(self, perp_inst_id: str) -> MarketSnapshot:
+        return self.cache.snapshot(perp_inst_id)
+
+    def snapshot_dict(self, perp_inst_id: str) -> dict[str, Any]:
+        return self.snapshot(perp_inst_id).to_dict()
+
+    def set_index_px(self, px: float | None) -> None:
+        self.cache.set_index_px(px)
+
+    def set_mark_px(self, inst_id: str, mark_px: float | None) -> None:
+        self.cache.set_mark_px(inst_id, mark_px)