Initial eth_hedge_sim: P0 market, auth UI, one-click deploy.
Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
@@ -0,0 +1,22 @@
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"""OKX 实盘只读行情网关。"""
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from .book_cache import BookCache
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from .gateway import MarketGateway, get_gateway, set_gateway
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from .instruments import next_session_expiry_ymd, select_option_pair
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from .okx_rest import OkxRestClient
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from .okx_ws import OkxPublicWs
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from .types import MarketSnapshot, OptionPair, Quote
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__all__ = [
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"BookCache",
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"MarketGateway",
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"MarketSnapshot",
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"OkxPublicWs",
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"OkxRestClient",
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"OptionPair",
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"Quote",
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"get_gateway",
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"next_session_expiry_ymd",
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"select_option_pair",
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"set_gateway",
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]
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@@ -0,0 +1,124 @@
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from __future__ import annotations
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import threading
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import time
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from typing import Iterable
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from .types import BookLevel, MarketSnapshot, OptionPair, Quote
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class BookCache:
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"""内存盘口缓存：永续 + Call/Put。线程安全。"""
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def __init__(self) -> None:
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self._lock = threading.RLock()
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self._quotes: dict[str, Quote] = {}
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self._index_px: float | None = None
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self._pair: OptionPair | None = None
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self._connected = False
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self._updated_at_ms: int | None = None
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def set_connected(self, ok: bool) -> None:
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with self._lock:
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self._connected = bool(ok)
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def set_pair(self, pair: OptionPair | None) -> None:
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with self._lock:
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self._pair = pair
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def set_index_px(self, px: float | None) -> None:
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with self._lock:
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if px is not None and px > 0:
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self._index_px = float(px)
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self._touch()
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def upsert_book(
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self,
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inst_id: str,
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*,
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bids: list[BookLevel],
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asks: list[BookLevel],
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ts_ms: int | None = None,
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) -> None:
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with self._lock:
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q = self._quotes.get(inst_id) or Quote(inst_id=inst_id)
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q.bids = bids
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q.asks = asks
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q.bid = bids[0].px if bids else None
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q.ask = asks[0].px if asks else None
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q.bid_sz = bids[0].sz if bids else None
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q.ask_sz = asks[0].sz if asks else None
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if ts_ms is not None:
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q.ts_ms = ts_ms
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self._quotes[inst_id] = q
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self._touch(ts_ms)
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def upsert_top(
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self,
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inst_id: str,
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*,
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bid: float | None,
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ask: float | None,
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bid_sz: float | None = None,
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ask_sz: float | None = None,
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ts_ms: int | None = None,
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) -> None:
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with self._lock:
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q = self._quotes.get(inst_id) or Quote(inst_id=inst_id)
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if bid is not None:
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q.bid = bid
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if ask is not None:
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q.ask = ask
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if bid_sz is not None:
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q.bid_sz = bid_sz
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if ask_sz is not None:
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q.ask_sz = ask_sz
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if ts_ms is not None:
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q.ts_ms = ts_ms
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# 同步一层盘口，便于 snapshot 展示
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if bid is not None and bid_sz is not None:
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q.bids = [BookLevel(px=bid, sz=bid_sz)] + q.bids[1:]
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if ask is not None and ask_sz is not None:
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q.asks = [BookLevel(px=ask, sz=ask_sz)] + q.asks[1:]
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self._quotes[inst_id] = q
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self._touch(ts_ms)
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def set_mark_px(self, inst_id: str, mark_px: float | None, ts_ms: int | None = None) -> None:
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with self._lock:
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if mark_px is None or mark_px <= 0:
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return
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q = self._quotes.get(inst_id) or Quote(inst_id=inst_id)
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q.mark_px = float(mark_px)
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if ts_ms is not None:
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q.ts_ms = ts_ms
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self._quotes[inst_id] = q
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self._touch(ts_ms)
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def get(self, inst_id: str) -> Quote | None:
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with self._lock:
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return self._quotes.get(inst_id)
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def drop_except(self, keep: Iterable[str]) -> None:
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keep_set = set(keep)
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with self._lock:
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for k in list(self._quotes):
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if k not in keep_set:
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del self._quotes[k]
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def snapshot(self, perp_inst_id: str) -> MarketSnapshot:
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with self._lock:
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pair = self._pair
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call = self._quotes.get(pair.call_inst_id) if pair else None
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put = self._quotes.get(pair.put_inst_id) if pair else None
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return MarketSnapshot(
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perp=self._quotes.get(perp_inst_id),
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call=call,
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put=put,
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index_px=self._index_px,
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pair=pair,
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connected=self._connected,
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updated_at_ms=self._updated_at_ms,
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)
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def _touch(self, ts_ms: int | None = None) -> None:
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self._updated_at_ms = int(ts_ms) if ts_ms is not None else int(time.time() * 1000)
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@@ -0,0 +1,150 @@
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"""行情网关：REST 对齐合约 + WS 推送盘口。"""
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from __future__ import annotations
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import asyncio
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import logging
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from typing import Any
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from ..config import Settings, get_settings
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from .book_cache import BookCache
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from .instruments import next_session_expiry_ymd, select_option_pair
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from .okx_rest import OkxRestClient
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from .okx_ws import OkxPublicWs
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from .types import MarketSnapshot, OptionPair
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logger = logging.getLogger(__name__)
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class MarketGateway:
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def __init__(self, settings: Settings | None = None) -> None:
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self.settings = settings or get_settings()
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self.cache = BookCache()
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proxy = self.settings.okx_http_proxy or None
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self.rest = OkxRestClient(self.settings.okx_rest_base, proxy=proxy)
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self.ws = OkxPublicWs(self.settings.okx_ws_public, self.cache, proxy=proxy)
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self._pair: OptionPair | None = None
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self._refresh_task: asyncio.Task[None] | None = None
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self._started = False
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@property
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def pair(self) -> OptionPair | None:
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return self._pair
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async def start(self) -> None:
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if self._started:
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return
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self._started = True
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await asyncio.to_thread(self.align_instruments)
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await self.ws.start()
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self._refresh_task = asyncio.create_task(self._refresh_loop(), name="market-align")
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async def stop(self) -> None:
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self._started = False
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if self._refresh_task:
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self._refresh_task.cancel()
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try:
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await self._refresh_task
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except asyncio.CancelledError:
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pass
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self._refresh_task = None
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await self.ws.stop()
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self.rest.close()
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def align_instruments(self) -> OptionPair | None:
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"""同步：拉期权列表，选次日到期 ATM Call/Put，REST 预热盘口，切换 WS 订阅。"""
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s = self.settings
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idx = self.rest.fetch_index_ticker(s.index_inst_id)
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mark = self.rest.fetch_mark_price(s.perp_inst_id) or idx
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if mark is None or mark <= 0:
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raise RuntimeError("无法获取 ETH 标记/指数价格，无法选 ATM")
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instruments = self.rest.fetch_option_instruments(s.option_inst_family)
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ymd = next_session_expiry_ymd()
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pair = select_option_pair(instruments, mark_px=float(mark), expiry_ymd=ymd)
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if pair is None:
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raise RuntimeError(f"未找到到期 {ymd} 的 ATM Call/Put 合约 pair (family={s.option_inst_family})")
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self._pair = pair
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self.cache.set_pair(pair)
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self.cache.set_index_px(idx)
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# REST 预热：永续 + Call + Put
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for inst in (s.perp_inst_id, pair.call_inst_id, pair.put_inst_id):
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bids, asks, ts = self.rest.fetch_books(inst, sz=5)
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self.cache.upsert_book(inst, bids=bids, asks=asks, ts_ms=ts)
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mp = self.rest.fetch_mark_price(inst)
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if mp:
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self.cache.set_mark_px(inst, mp)
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keep = {s.perp_inst_id, pair.call_inst_id, pair.put_inst_id}
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self.cache.drop_except(keep)
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self.ws.set_instruments([s.perp_inst_id, pair.call_inst_id, pair.put_inst_id])
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logger.info(
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"aligned pair expiry=%s strike=%s call=%s put=%s mark=%.2f",
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pair.expiry_ymd,
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pair.strike,
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pair.call_inst_id,
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pair.put_inst_id,
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mark,
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)
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return pair
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async def realign_async(self) -> OptionPair | None:
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old = self._pair
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pair = await asyncio.to_thread(self.align_instruments)
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if old is None or (
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pair
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and (
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pair.call_inst_id != old.call_inst_id
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or pair.put_inst_id != old.put_inst_id
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)
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):
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await self.ws.resubscribe(
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[
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self.settings.perp_inst_id,
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pair.call_inst_id,
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pair.put_inst_id,
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]
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)
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return pair
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def snapshot(self) -> MarketSnapshot:
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return self.cache.snapshot(self.settings.perp_inst_id)
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def snapshot_dict(self) -> dict[str, Any]:
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return self.snapshot().to_dict()
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async def _refresh_loop(self) -> None:
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"""周期性刷新指数价；跨日到期切换时重对齐。"""
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while True:
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await asyncio.sleep(30)
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try:
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idx = await asyncio.to_thread(
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self.rest.fetch_index_ticker, self.settings.index_inst_id
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)
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self.cache.set_index_px(idx)
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want = next_session_expiry_ymd()
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if self._pair and self._pair.expiry_ymd != want:
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logger.info("expiry rollover %s -> %s", self._pair.expiry_ymd, want)
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await self.realign_async()
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except asyncio.CancelledError:
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raise
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except Exception as e:
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logger.warning("market refresh failed: %s", e)
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# 进程级单例（FastAPI lifespan 注入）
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_gateway: MarketGateway | None = None
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def get_gateway() -> MarketGateway:
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global _gateway
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if _gateway is None:
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_gateway = MarketGateway()
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return _gateway
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def set_gateway(gw: MarketGateway | None) -> None:
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global _gateway
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_gateway = gw
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@@ -0,0 +1,119 @@
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"""合约选择：次日 16:00（上海）到期 + ATM 行权价（暂定默认，待拍板可改）。"""
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from __future__ import annotations
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import re
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from datetime import datetime, timedelta, timezone
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from typing import Any
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from zoneinfo import ZoneInfo
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from .types import OptionPair
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_SH = ZoneInfo("Asia/Shanghai")
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_DATE_RE = re.compile(r"^\d{6}$")
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def safe_float(v: Any) -> float | None:
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if v is None or v == "":
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return None
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try:
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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 parse_option_inst_id(inst_id: str) -> tuple[str | None, float | None, str | None]:
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"""ETH-USD_UM-YYMMDD-STRIKE-C → (YYMMDD, strike, C|P)."""
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parts = (inst_id or "").strip().split("-")
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if len(parts) < 5:
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return None, None, None
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ymd = parts[-3]
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strike = safe_float(parts[-2])
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opt = parts[-1].upper()
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if not _DATE_RE.fullmatch(ymd) or strike is None or opt not in ("C", "P"):
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return None, None, None
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return ymd, strike, opt
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def expiry_ms_from_ymd(ymd: str) -> int:
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"""OKX 期权到期：当日 08:00 UTC = 上海 16:00。"""
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yy, mm, dd = int(ymd[0:2]), int(ymd[2:4]), int(ymd[4:6])
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dt = datetime(2000 + yy, mm, dd, 8, 0, 0, tzinfo=timezone.utc)
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return int(dt.timestamp() * 1000)
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def next_session_expiry_ymd(now: datetime | None = None) -> str:
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"""
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业务约定：开仓选「次日 16:00」到期。
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- 上海时间 >= 当日 16:00：目标到期日 = 次日
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- 上海时间 < 当日 16:00：目标到期日 = 当日（当日 16:00 到期仍可用作盘口对齐/预热）
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正式开仓窗从当日 16:00 起，届时「次日」即日历次日。
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"""
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now_sh = (now or datetime.now(tz=_SH)).astimezone(_SH)
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open_today = now_sh.replace(hour=16, minute=0, second=0, microsecond=0)
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if now_sh >= open_today:
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target = now_sh.date() + timedelta(days=1)
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else:
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target = now_sh.date()
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return target.strftime("%y%m%d")
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def pick_atm_strike(strikes: list[float], mark_px: float) -> float | None:
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if not strikes or mark_px <= 0:
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return None
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return min(strikes, key=lambda s: (abs(s - mark_px), s))
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def select_option_pair(
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instruments: list[dict[str, Any]],
|
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*,
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mark_px: float,
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expiry_ymd: str | None = None,
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now: datetime | None = None,
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) -> OptionPair | None:
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"""
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从 live 合约列表中选出：目标到期日 + ATM 同行权价 Call/Put。
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行权价规则暂定 ATM（最接近标记/指数价）；待拍板后可替换。
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"""
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ymd = expiry_ymd or next_session_expiry_ymd(now)
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by_strike: dict[float, dict[str, str]] = {}
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for row in instruments:
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if not isinstance(row, dict):
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continue
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state = str(row.get("state") or "live").lower()
|
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if state and state != "live":
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continue
|
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inst_id = str(row.get("instId") or "")
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y, stk, opt = parse_option_inst_id(inst_id)
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|
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if y is None or stk is None or opt is None:
|
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exp = safe_float(row.get("expTime"))
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if exp:
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ms = int(exp) if exp > 10_000_000_000 else int(exp * 1000)
|
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y = datetime.fromtimestamp(ms / 1000, tz=timezone.utc).strftime("%y%m%d")
|
||||
stk = safe_float(row.get("stk"))
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opt_raw = str(row.get("optType") or "").upper()
|
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opt = opt_raw if opt_raw in ("C", "P") else None
|
||||
|
||||
if not inst_id or y != ymd or stk is None or opt not in ("C", "P"):
|
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continue
|
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by_strike.setdefault(float(stk), {})[opt] = inst_id
|
||||
|
||||
complete = {s: v for s, v in by_strike.items() if "C" in v and "P" in v}
|
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if not complete:
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return None
|
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|
||||
atm = pick_atm_strike(list(complete.keys()), mark_px)
|
||||
if atm is None:
|
||||
return None
|
||||
|
||||
legs = complete[atm]
|
||||
return OptionPair(
|
||||
expiry_ymd=ymd,
|
||||
expiry_ms=expiry_ms_from_ymd(ymd),
|
||||
strike=atm,
|
||||
call_inst_id=legs["C"],
|
||||
put_inst_id=legs["P"],
|
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)
|
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@@ -0,0 +1,99 @@
|
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"""OKX REST 只读行情。不调用任何交易类接口。"""
|
||||
|
||||
from __future__ import annotations
|
||||
|
||||
from typing import Any
|
||||
|
||||
import httpx
|
||||
|
||||
from .instruments import safe_float
|
||||
from .types import BookLevel
|
||||
|
||||
|
||||
class OkxRestClient:
|
||||
def __init__(
|
||||
self,
|
||||
base_url: str = "https://www.okx.com",
|
||||
timeout: float = 15.0,
|
||||
proxy: str | None = None,
|
||||
) -> None:
|
||||
self.base_url = base_url.rstrip("/")
|
||||
self.proxy = (proxy or "").strip() or None
|
||||
self._client = httpx.Client(
|
||||
base_url=self.base_url,
|
||||
timeout=timeout,
|
||||
proxy=self.proxy,
|
||||
headers={"Accept": "application/json", "User-Agent": "eth-hedge-sim/0.1"},
|
||||
)
|
||||
|
||||
def close(self) -> None:
|
||||
self._client.close()
|
||||
|
||||
def __enter__(self) -> OkxRestClient:
|
||||
return self
|
||||
|
||||
def __exit__(self, *args: object) -> None:
|
||||
self.close()
|
||||
|
||||
def _get(self, path: str, params: dict[str, Any] | None = None) -> list[dict[str, Any]]:
|
||||
r = self._client.get(path, params=params or {})
|
||||
r.raise_for_status()
|
||||
body = r.json()
|
||||
if str(body.get("code")) != "0":
|
||||
raise RuntimeError(f"OKX REST error code={body.get('code')} msg={body.get('msg')}")
|
||||
data = body.get("data") or []
|
||||
return [x for x in data if isinstance(x, dict)]
|
||||
|
||||
def fetch_instruments(self, *, inst_type: str, inst_family: str | None = None) -> list[dict[str, Any]]:
|
||||
params: dict[str, Any] = {"instType": inst_type}
|
||||
if inst_family:
|
||||
params["instFamily"] = inst_family
|
||||
return self._get("/api/v5/public/instruments", params)
|
||||
|
||||
def fetch_option_instruments(self, inst_family: str) -> list[dict[str, Any]]:
|
||||
rows = self.fetch_instruments(inst_type="OPTION", inst_family=inst_family)
|
||||
return [r for r in rows if str(r.get("state") or "").lower() == "live"]
|
||||
|
||||
def fetch_index_ticker(self, inst_id: str) -> float | None:
|
||||
rows = self._get("/api/v5/market/index-tickers", {"instId": inst_id})
|
||||
if not rows:
|
||||
return None
|
||||
return safe_float(rows[0].get("idxPx"))
|
||||
|
||||
def fetch_mark_price(self, inst_id: str) -> float | None:
|
||||
rows = self._get("/api/v5/public/mark-price", {"instId": inst_id})
|
||||
if not rows:
|
||||
t = self._get("/api/v5/market/ticker", {"instId": inst_id})
|
||||
if not t:
|
||||
return None
|
||||
return safe_float(t[0].get("markPx")) or safe_float(t[0].get("last"))
|
||||
return safe_float(rows[0].get("markPx"))
|
||||
|
||||
def fetch_books(self, inst_id: str, sz: int = 5) -> tuple[list[BookLevel], list[BookLevel], int | None]:
|
||||
rows = self._get(
|
||||
"/api/v5/market/books",
|
||||
{"instId": inst_id, "sz": str(max(1, min(int(sz), 400)))},
|
||||
)
|
||||
if not rows:
|
||||
return [], [], None
|
||||
row = rows[0]
|
||||
ts = safe_float(row.get("ts"))
|
||||
ts_ms = int(ts) if ts is not None else None
|
||||
return (
|
||||
_levels(row.get("bids") or []),
|
||||
_levels(row.get("asks") or []),
|
||||
ts_ms,
|
||||
)
|
||||
|
||||
|
||||
def _levels(raw: list[Any]) -> list[BookLevel]:
|
||||
out: list[BookLevel] = []
|
||||
for item in raw:
|
||||
if not isinstance(item, (list, tuple)) or len(item) < 2:
|
||||
continue
|
||||
px = safe_float(item[0])
|
||||
sz = safe_float(item[1])
|
||||
if px is None or sz is None or px <= 0 or sz <= 0:
|
||||
continue
|
||||
out.append(BookLevel(px=px, sz=sz))
|
||||
return out
|
||||
@@ -0,0 +1,207 @@
|
||||
"""OKX 公共 WebSocket：永续 + 期权 books5 / mark-price。只读。"""
|
||||
|
||||
from __future__ import annotations
|
||||
|
||||
import asyncio
|
||||
import json
|
||||
import logging
|
||||
from typing import Any
|
||||
from urllib.parse import urlparse
|
||||
|
||||
import websockets
|
||||
from websockets.asyncio.client import ClientConnection
|
||||
|
||||
from .book_cache import BookCache
|
||||
from .instruments import safe_float
|
||||
from .types import BookLevel
|
||||
|
||||
logger = logging.getLogger(__name__)
|
||||
|
||||
|
||||
class OkxPublicWs:
|
||||
def __init__(
|
||||
self,
|
||||
url: str,
|
||||
cache: BookCache,
|
||||
*,
|
||||
proxy: str | None = None,
|
||||
ping_interval: float = 20.0,
|
||||
) -> None:
|
||||
self.url = url
|
||||
self.cache = cache
|
||||
self.proxy = (proxy or "").strip() or None
|
||||
self.ping_interval = ping_interval
|
||||
self._inst_ids: list[str] = []
|
||||
self._task: asyncio.Task[None] | None = None
|
||||
self._stop = asyncio.Event()
|
||||
self._subscribed: set[str] = set()
|
||||
|
||||
def set_instruments(self, inst_ids: list[str]) -> None:
|
||||
self._inst_ids = [i for i in inst_ids if i]
|
||||
|
||||
async def start(self) -> None:
|
||||
if self._task and not self._task.done():
|
||||
return
|
||||
self._stop.clear()
|
||||
self._task = asyncio.create_task(self._run_forever(), name="okx-public-ws")
|
||||
|
||||
async def stop(self) -> None:
|
||||
self._stop.set()
|
||||
if self._task:
|
||||
self._task.cancel()
|
||||
try:
|
||||
await self._task
|
||||
except asyncio.CancelledError:
|
||||
pass
|
||||
self._task = None
|
||||
self.cache.set_connected(False)
|
||||
|
||||
async def resubscribe(self, inst_ids: list[str]) -> None:
|
||||
self.set_instruments(inst_ids)
|
||||
self._stop.set()
|
||||
await asyncio.sleep(0)
|
||||
self._stop.clear()
|
||||
if self._task and not self._task.done():
|
||||
self._task.cancel()
|
||||
try:
|
||||
await self._task
|
||||
except asyncio.CancelledError:
|
||||
pass
|
||||
self._task = asyncio.create_task(self._run_forever(), name="okx-public-ws")
|
||||
|
||||
async def _open_connection(self) -> ClientConnection:
|
||||
if not self.proxy:
|
||||
return await websockets.connect(
|
||||
self.url,
|
||||
ping_interval=None,
|
||||
max_size=2**22,
|
||||
open_timeout=20,
|
||||
)
|
||||
|
||||
from python_socks.async_.asyncio import Proxy
|
||||
|
||||
parsed = urlparse(self.url)
|
||||
host = parsed.hostname or "ws.okx.com"
|
||||
port = parsed.port or (443 if parsed.scheme == "wss" else 80)
|
||||
sock = await Proxy.from_url(self.proxy).connect(dest_host=host, dest_port=port)
|
||||
return await websockets.connect(
|
||||
self.url,
|
||||
sock=sock,
|
||||
server_hostname=host,
|
||||
ping_interval=None,
|
||||
max_size=2**22,
|
||||
open_timeout=20,
|
||||
)
|
||||
|
||||
async def _run_forever(self) -> None:
|
||||
backoff = 1.0
|
||||
while not self._stop.is_set():
|
||||
try:
|
||||
async with await self._open_connection() as ws:
|
||||
self.cache.set_connected(True)
|
||||
backoff = 1.0
|
||||
await self._subscribe(ws)
|
||||
waiter = asyncio.create_task(self._stop.wait())
|
||||
reader = asyncio.create_task(self._read_loop(ws))
|
||||
pinger = asyncio.create_task(self._ping_loop(ws))
|
||||
done, pending = await asyncio.wait(
|
||||
{waiter, reader, pinger},
|
||||
return_when=asyncio.FIRST_COMPLETED,
|
||||
)
|
||||
for t in pending:
|
||||
t.cancel()
|
||||
for t in done:
|
||||
exc = t.exception()
|
||||
if exc and not isinstance(exc, asyncio.CancelledError):
|
||||
raise exc
|
||||
except asyncio.CancelledError:
|
||||
raise
|
||||
except Exception as e:
|
||||
logger.warning("OKX WS disconnected: %s", e)
|
||||
self.cache.set_connected(False)
|
||||
try:
|
||||
await asyncio.wait_for(self._stop.wait(), timeout=backoff)
|
||||
break
|
||||
except asyncio.TimeoutError:
|
||||
backoff = min(backoff * 2, 30.0)
|
||||
|
||||
self.cache.set_connected(False)
|
||||
|
||||
async def _subscribe(self, ws: ClientConnection) -> None:
|
||||
args: list[dict[str, str]] = []
|
||||
for inst in self._inst_ids:
|
||||
args.append({"channel": "books5", "instId": inst})
|
||||
args.append({"channel": "mark-price", "instId": inst})
|
||||
if not args:
|
||||
return
|
||||
payload = {"op": "subscribe", "args": args}
|
||||
await ws.send(json.dumps(payload))
|
||||
self._subscribed = {a["instId"] for a in args}
|
||||
logger.info("OKX WS subscribed: %s", sorted(self._subscribed))
|
||||
|
||||
async def _ping_loop(self, ws: ClientConnection) -> None:
|
||||
while True:
|
||||
await asyncio.sleep(self.ping_interval)
|
||||
await ws.send("ping")
|
||||
|
||||
async def _read_loop(self, ws: ClientConnection) -> None:
|
||||
try:
|
||||
async for raw in ws:
|
||||
if raw == "pong":
|
||||
continue
|
||||
if isinstance(raw, bytes):
|
||||
raw = raw.decode("utf-8", errors="ignore")
|
||||
if raw == "ping":
|
||||
await ws.send("pong")
|
||||
continue
|
||||
try:
|
||||
msg = json.loads(raw)
|
||||
except json.JSONDecodeError:
|
||||
continue
|
||||
self._handle_message(msg)
|
||||
except websockets.exceptions.ConnectionClosed:
|
||||
return
|
||||
|
||||
def _handle_message(self, msg: dict[str, Any]) -> None:
|
||||
if msg.get("event") in ("subscribe", "error", "channel-conn-count"):
|
||||
if msg.get("event") == "error":
|
||||
logger.error("OKX WS error: %s", msg)
|
||||
return
|
||||
arg = msg.get("arg") or {}
|
||||
channel = str(arg.get("channel") or "")
|
||||
inst_id = str(arg.get("instId") or "")
|
||||
data = msg.get("data") or []
|
||||
if not inst_id or not data:
|
||||
return
|
||||
row = data[0] if isinstance(data[0], dict) else None
|
||||
if row is None:
|
||||
return
|
||||
|
||||
if channel == "books5":
|
||||
ts = safe_float(row.get("ts"))
|
||||
self.cache.upsert_book(
|
||||
inst_id,
|
||||
bids=_levels(row.get("bids") or []),
|
||||
asks=_levels(row.get("asks") or []),
|
||||
ts_ms=int(ts) if ts is not None else None,
|
||||
)
|
||||
elif channel == "mark-price":
|
||||
ts = safe_float(row.get("ts"))
|
||||
self.cache.set_mark_px(
|
||||
inst_id,
|
||||
safe_float(row.get("markPx")),
|
||||
ts_ms=int(ts) if ts is not None else None,
|
||||
)
|
||||
|
||||
|
||||
def _levels(raw: list[Any]) -> list[BookLevel]:
|
||||
out: list[BookLevel] = []
|
||||
for item in raw:
|
||||
if not isinstance(item, (list, tuple)) or len(item) < 2:
|
||||
continue
|
||||
px = safe_float(item[0])
|
||||
sz = safe_float(item[1])
|
||||
if px is None or sz is None or px <= 0 or sz <= 0:
|
||||
continue
|
||||
out.append(BookLevel(px=px, sz=sz))
|
||||
return out
|
||||
@@ -0,0 +1,94 @@
|
||||
from __future__ import annotations
|
||||
|
||||
from dataclasses import dataclass, field
|
||||
from typing import Any
|
||||
|
||||
|
||||
@dataclass(slots=True)
|
||||
class BookLevel:
|
||||
px: float
|
||||
sz: float # OKX 张数 / 合约张数口径
|
||||
|
||||
|
||||
@dataclass(slots=True)
|
||||
class Quote:
|
||||
inst_id: str
|
||||
bid: float | None = None
|
||||
ask: float | None = None
|
||||
bid_sz: float | None = None
|
||||
ask_sz: float | None = None
|
||||
mark_px: float | None = None
|
||||
ts_ms: int | None = None
|
||||
bids: list[BookLevel] = field(default_factory=list)
|
||||
asks: list[BookLevel] = field(default_factory=list)
|
||||
|
||||
def to_dict(self, *, depth: int = 5) -> dict[str, Any]:
|
||||
return {
|
||||
"inst_id": self.inst_id,
|
||||
"bid": self.bid,
|
||||
"ask": self.ask,
|
||||
"bid_sz": self.bid_sz,
|
||||
"ask_sz": self.ask_sz,
|
||||
"mark_px": self.mark_px,
|
||||
"ts_ms": self.ts_ms,
|
||||
"bids": [{"px": x.px, "sz": x.sz} for x in self.bids[:depth]],
|
||||
"asks": [{"px": x.px, "sz": x.sz} for x in self.asks[:depth]],
|
||||
}
|
||||
|
||||
|
||||
@dataclass(slots=True)
|
||||
class OptionPair:
|
||||
expiry_ymd: str # YYMMDD
|
||||
expiry_ms: int
|
||||
strike: float
|
||||
call_inst_id: str
|
||||
put_inst_id: str
|
||||
|
||||
def to_dict(self) -> dict[str, Any]:
|
||||
return {
|
||||
"expiry_ymd": self.expiry_ymd,
|
||||
"expiry_ms": self.expiry_ms,
|
||||
"strike": self.strike,
|
||||
"call_inst_id": self.call_inst_id,
|
||||
"put_inst_id": self.put_inst_id,
|
||||
}
|
||||
|
||||
|
||||
@dataclass(slots=True)
|
||||
class MarketSnapshot:
|
||||
perp: Quote | None
|
||||
call: Quote | None
|
||||
put: Quote | None
|
||||
index_px: float | None
|
||||
pair: OptionPair | None
|
||||
connected: bool
|
||||
updated_at_ms: int | None
|
||||
|
||||
def to_dict(self) -> dict[str, Any]:
|
||||
return {
|
||||
"connected": self.connected,
|
||||
"updated_at_ms": self.updated_at_ms,
|
||||
"index_px": self.index_px,
|
||||
"pair": self.pair.to_dict() if self.pair else None,
|
||||
"perp": self.perp.to_dict() if self.perp else None,
|
||||
"call": self.call.to_dict() if self.call else None,
|
||||
"put": self.put.to_dict() if self.put else None,
|
||||
"ask_compare": {
|
||||
"call_ask": self.call.ask if self.call else None,
|
||||
"put_ask": self.put.ask if self.put else None,
|
||||
"bias": _ask_bias(self.call, self.put),
|
||||
},
|
||||
}
|
||||
|
||||
|
||||
def _ask_bias(call: Quote | None, put: Quote | None) -> str:
|
||||
"""卖一比价仅用于选向展示；相等则 wait。"""
|
||||
ca = call.ask if call else None
|
||||
pa = put.ask if put else None
|
||||
if ca is None or pa is None:
|
||||
return "unknown"
|
||||
if ca > pa:
|
||||
return "call_ask_gt_put" # 永续多 + 期权空（腿待拍板）
|
||||
if ca < pa:
|
||||
return "put_ask_gt_call" # 永续空 + 期权多（腿待拍板）
|
||||
return "equal"
|
||||
Reference in New Issue
Block a user