Add SIM/LIVE switch with API keys saved to .env and OKX live executor.
Enable settings UI for mode/keys, gate strategy start when LIVE is not ready, and stop PM2 from forcing MODE=SIM. Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
@@ -1 +1,5 @@
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# Placeholder: live OKX trade adapter (P5). Default off.
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"""实盘执行适配层。"""
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from .executor import BinanceLiveStub, OkxLiveExecutor, get_executor
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__all__ = ["get_executor", "OkxLiveExecutor", "BinanceLiveStub"]
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@@ -0,0 +1,592 @@
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"""实盘执行：OKX 真下单 + 本地账本/持仓记录（与 Matcher 同结构）。"""
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from __future__ import annotations
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import logging
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import time
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from typing import Any
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from ..config import get_settings
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from ..env_store import live_ready
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from ..exchange.runtime import load_runtime_settings
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from ..models.db import get_db
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from ..sim.liquidity import contracts_for_eth
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from ..sim.matcher import CloseResult, Matcher, OpenResult
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from ..sim.pricing import option_expiry_settle, option_intrinsic
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from ..strategy.session import get_session
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from .okx_trade import OkxTradeClient
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logger = logging.getLogger(__name__)
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class OkxLiveExecutor(Matcher):
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"""开平仓走 OKX 私有接口；浮盈/残留逻辑复用 Matcher。"""
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def __init__(self, db=None) -> None:
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super().__init__(db)
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self._trade: OkxTradeClient | None = None
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def _client(self) -> OkxTradeClient:
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if self._trade is None:
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self._trade = OkxTradeClient()
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return self._trade
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def _guard_live(self) -> str | None:
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ok, reason = live_ready()
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if not ok:
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return reason
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return None
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def open_group(
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self,
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*,
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group_id: str,
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bias: str,
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option_side: str,
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perp_side: str,
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option_inst_id: str,
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entry_index_px: float,
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strike: float | None = None,
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expiry_ymd: str | None = None,
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) -> OpenResult:
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err = self._guard_live()
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if err:
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return OpenResult(ok=False, detail=err)
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s = get_settings()
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pos = self.current_position()
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if pos.get("status") == "open" and pos.get("group_id"):
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return OpenResult(ok=False, detail="已有持仓组，请先平仓")
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client = self._client()
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perp_qty = self.ledger.get_setting_float("perp_qty_eth", s.perp_qty_eth)
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opt_qty = self.ledger.get_setting_float("option_qty_eth", s.option_qty_eth)
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ct_mult = self._ct_mult(option_inst_id)
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opt_contracts = contracts_for_eth(opt_qty, ct_mult)
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# 期权：买入，张数 = contracts
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try:
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opt_fill = client.place_market(
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inst_id=option_inst_id,
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side="buy",
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sz=str(int(round(opt_contracts))),
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td_mode="cash", # OKX 期权常见 cash；若账户不同可再扩展
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)
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except Exception as e:
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logger.exception("live open option failed")
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return OpenResult(ok=False, detail=f"实盘开期权失败: {e}")
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# 永续：按仓位方向
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try:
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ct_val = client.get_ct_val(s.perp_inst_id, inst_type="SWAP")
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perp_sz = max(1, int(round(perp_qty / ct_val)))
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if perp_side == "long":
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side, pos_side = "buy", "long"
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else:
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side, pos_side = "sell", "short"
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perp_fill_live = client.place_market(
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inst_id=s.perp_inst_id,
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side=side,
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sz=str(perp_sz),
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td_mode="cross",
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pos_side=pos_side,
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)
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except Exception as e:
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logger.exception("live open perp failed; attempting option close")
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try:
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client.place_market(
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inst_id=option_inst_id,
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side="sell",
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sz=str(int(round(opt_contracts))),
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td_mode="cash",
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reduce_only=True,
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)
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except Exception as e2:
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logger.exception("live option rollback failed: %s", e2)
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return OpenResult(
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ok=False,
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detail=f"永续开仓失败且期权回滚失败: {e} / {e2}",
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)
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return OpenResult(ok=False, detail=f"永续开仓失败，已尝试平期权: {e}")
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of_px = float(opt_fill.avg_px)
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pf_px = float(perp_fill_live.avg_px)
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of_fee = float(opt_fill.fee)
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pf_fee = float(perp_fill_live.fee)
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initial_premium = of_px * opt_qty
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of_notional = of_px * opt_qty
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pf_notional = pf_px * perp_qty
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try:
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self.ledger.apply_cash(
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-(of_notional + of_fee),
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kind="open_option",
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group_id=group_id,
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note=f"LIVE open option {group_id}",
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)
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self.ledger.apply_cash(
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-pf_fee,
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kind="open_perp_fee",
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group_id=group_id,
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note=f"LIVE open perp {group_id}",
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)
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except RuntimeError as e:
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return OpenResult(ok=False, detail=str(e))
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now = int(time.time() * 1000)
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with self.db._lock:
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self.db._conn.execute(
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"""INSERT INTO groups(
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group_id, status, bias, option_side, perp_side, option_inst_id, perp_inst_id,
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strike, expiry_ymd, entry_index_px, initial_premium, open_at_ms, fees, slip_cost,
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exec_mode
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) VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
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(
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group_id,
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"open",
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bias,
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option_side,
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perp_side,
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option_inst_id,
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s.perp_inst_id,
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strike,
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expiry_ymd,
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entry_index_px,
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initial_premium,
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now,
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of_fee + pf_fee,
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0.0,
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"LIVE",
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),
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)
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self.db._conn.execute(
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"""INSERT INTO fills(group_id, leg, action, side, inst_id, qty_eth, qty_contracts,
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base_px, fill_px, fee, slip, notional, ts_ms, exec_mode)
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VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
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(
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group_id,
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"option",
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"open",
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"long",
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option_inst_id,
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opt_qty,
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opt_contracts,
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of_px,
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of_px,
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of_fee,
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0.0,
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of_notional,
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now,
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"LIVE",
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),
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)
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self.db._conn.execute(
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"""INSERT INTO fills(group_id, leg, action, side, inst_id, qty_eth, qty_contracts,
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base_px, fill_px, fee, slip, notional, ts_ms, exec_mode)
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VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
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(
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group_id,
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"perp",
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"open",
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perp_side,
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s.perp_inst_id,
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perp_qty,
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None,
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pf_px,
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pf_px,
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pf_fee,
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0.0,
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pf_notional,
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now + 1,
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"LIVE",
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),
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)
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self.db._conn.execute(
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"""UPDATE positions SET
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group_id=?, perp_side=?, perp_qty_eth=?, perp_entry_px=?,
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option_inst_id=?, option_side=?, option_qty_eth=?, option_qty_contracts=?,
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option_entry_px=?, entry_index_px=?, initial_premium=?, status=?
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WHERE id=1""",
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(
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group_id,
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perp_side,
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perp_qty,
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pf_px,
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option_inst_id,
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option_side,
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opt_qty,
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opt_contracts,
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of_px,
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entry_index_px,
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initial_premium,
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"open",
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),
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)
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self.db._conn.commit()
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return OpenResult(
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ok=True,
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group_id=group_id,
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detail="opened_live",
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data={
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"group_id": group_id,
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"exec_mode": "LIVE",
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"option_ord": opt_fill.ord_id,
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"perp_ord": perp_fill_live.ord_id,
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"initial_premium": initial_premium,
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"fees": of_fee + pf_fee,
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},
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)
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def close_group(self, *, reason: str, bypass_liquidity: bool = False) -> CloseResult:
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err = self._guard_live()
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if err:
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return CloseResult(ok=False, detail=err)
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s = get_settings()
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pos = self.current_position()
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if pos.get("status") != "open" or not pos.get("group_id"):
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return CloseResult(ok=False, detail="无持仓可平")
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group_id = str(pos["group_id"])
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option_inst_id = str(pos["option_inst_id"])
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option_side = str(pos["option_side"])
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perp_side = str(pos["perp_side"])
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opt_qty = float(pos["option_qty_eth"])
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perp_qty = float(pos["perp_qty_eth"])
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opt_contracts = float(pos["option_qty_contracts"] or 0)
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client = self._client()
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is_expiry = reason == "expiry"
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fee_rate = self._fee_rate()
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sess = get_session()
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snap = sess.snapshot()
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strike = self._group_strike(group_id, option_inst_id)
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spot = self._close_spot_px(snap)
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intrinsic = None
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if strike is not None and spot is not None:
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intrinsic = option_intrinsic(
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option_side=option_side, strike=float(strike), spot=float(spot)
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)
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of_px = 0.0
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of_fee = 0.0
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of_slip = 0.0
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of_notional = 0.0
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if is_expiry:
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if intrinsic is None:
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return CloseResult(ok=False, detail="到期结算失败：缺行权价或标的价")
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of = option_expiry_settle(
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intrinsic=float(intrinsic), qty_eth=opt_qty, fee_rate=fee_rate
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)
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of_px, of_fee, of_slip, of_notional = of.fill_px, of.fee, of.slip, of.notional
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else:
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try:
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opt_live = client.place_market(
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inst_id=option_inst_id,
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side="sell",
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sz=str(int(round(opt_contracts))),
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td_mode="cash",
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reduce_only=True,
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)
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of_px = float(opt_live.avg_px)
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of_fee = float(opt_live.fee)
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of_notional = of_px * opt_qty
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except Exception as e:
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if not bypass_liquidity:
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return CloseResult(
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ok=False,
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detail=f"实盘平期权失败: {e}",
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liquidity_wait=True,
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)
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return CloseResult(ok=False, detail=f"实盘平期权失败: {e}")
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try:
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ct_val = client.get_ct_val(s.perp_inst_id, inst_type="SWAP")
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perp_sz = max(1, int(round(perp_qty / ct_val)))
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if perp_side == "long":
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side, pos_side = "sell", "long"
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else:
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side, pos_side = "buy", "short"
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perp_live = client.place_market(
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inst_id=s.perp_inst_id,
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side=side,
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sz=str(perp_sz),
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td_mode="cross",
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pos_side=pos_side,
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reduce_only=True,
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)
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pf_px = float(perp_live.avg_px)
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pf_fee = float(perp_live.fee)
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except Exception as e:
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return CloseResult(ok=False, detail=f"期权已平但永续平仓失败: {e}")
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opt_entry = float(pos["option_entry_px"])
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perp_entry = float(pos["perp_entry_px"])
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opt_pnl = (of_px - opt_entry) * opt_qty
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if perp_side == "long":
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perp_pnl = (pf_px - perp_entry) * perp_qty
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else:
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perp_pnl = (perp_entry - pf_px) * perp_qty
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self.ledger.apply_cash(
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of_notional - of_fee,
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kind="close_option",
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group_id=group_id,
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note=f"LIVE close option {reason}",
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)
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self.ledger.apply_cash(
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perp_pnl - pf_fee,
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kind="close_perp",
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group_id=group_id,
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note=f"LIVE close perp {reason}",
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)
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now = int(time.time() * 1000)
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g = self.db.fetchone("SELECT * FROM groups WHERE group_id=?", (group_id,))
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fees = float((g["fees"] if g else 0) or 0) + of_fee + pf_fee
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slip = float((g["slip_cost"] if g else 0) or 0) + of_slip
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from ..sim.pnl import summarize_fills_pnl
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with self.db._lock:
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self.db._conn.execute(
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"""INSERT INTO fills(group_id, leg, action, side, inst_id, qty_eth, qty_contracts,
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base_px, fill_px, fee, slip, notional, ts_ms, exec_mode)
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VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
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(
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group_id,
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"option",
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"close",
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"flat",
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option_inst_id,
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opt_qty,
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opt_contracts,
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of_px,
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of_px,
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of_fee,
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of_slip,
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of_notional,
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now,
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"LIVE",
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),
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)
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self.db._conn.execute(
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"""INSERT INTO fills(group_id, leg, action, side, inst_id, qty_eth, qty_contracts,
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base_px, fill_px, fee, slip, notional, ts_ms, exec_mode)
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VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
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(
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group_id,
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"perp",
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"close",
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"flat",
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s.perp_inst_id,
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perp_qty,
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None,
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pf_px,
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pf_px,
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pf_fee,
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0.0,
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pf_px * perp_qty,
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now + 1,
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"LIVE",
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),
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)
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fills = self.db._conn.execute(
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"SELECT * FROM fills WHERE group_id=? ORDER BY id ASC", (group_id,)
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).fetchall()
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summary = summarize_fills_pnl(list(fills))
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net = summary.get("net_pnl")
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if net is None:
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net = opt_pnl + perp_pnl - of_fee - pf_fee
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self.db._conn.execute(
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"""UPDATE groups SET status=?, close_at_ms=?, close_reason=?, realized_pnl=?,
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fees=?, slip_cost=? WHERE group_id=?""",
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("closed", now, reason, float(net), fees, slip, group_id),
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)
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self.db._conn.execute(
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"""UPDATE positions SET
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group_id=NULL, perp_side=NULL, perp_qty_eth=0, perp_entry_px=NULL,
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option_inst_id=NULL, option_side=NULL, option_qty_eth=0, option_qty_contracts=0,
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option_entry_px=NULL, entry_index_px=NULL, initial_premium=0, status='flat'
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WHERE id=1"""
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)
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self.db._conn.commit()
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return CloseResult(
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ok=True,
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detail="closed_live",
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data={"group_id": group_id, "reason": reason, "net_pnl": net, "exec_mode": "LIVE"},
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)
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def close_perp_abandon_option(self, *, reason: str = "target_perp_only") -> CloseResult:
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err = self._guard_live()
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if err:
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return CloseResult(ok=False, detail=err)
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# 先校验远虚，再实盘只平永续，其余写入复用父类逻辑的简化版：
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if not self.option_is_deep_otm():
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return CloseResult(ok=False, detail="期权非远虚，应走双腿全平")
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s = get_settings()
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pos = self.current_position()
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if pos.get("status") != "open" or not pos.get("group_id"):
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return CloseResult(ok=False, detail="无持仓可平")
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group_id = str(pos["group_id"])
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perp_side = str(pos["perp_side"])
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perp_qty = float(pos["perp_qty_eth"])
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perp_entry = float(pos["perp_entry_px"])
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client = self._client()
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try:
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ct_val = client.get_ct_val(s.perp_inst_id, inst_type="SWAP")
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perp_sz = max(1, int(round(perp_qty / ct_val)))
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||||
if perp_side == "long":
|
||||
side, pos_side = "sell", "long"
|
||||
else:
|
||||
side, pos_side = "buy", "short"
|
||||
perp_live = client.place_market(
|
||||
inst_id=s.perp_inst_id,
|
||||
side=side,
|
||||
sz=str(perp_sz),
|
||||
td_mode="cross",
|
||||
pos_side=pos_side,
|
||||
reduce_only=True,
|
||||
)
|
||||
except Exception as e:
|
||||
return CloseResult(ok=False, detail=f"实盘平永续失败: {e}")
|
||||
|
||||
pf_px = float(perp_live.avg_px)
|
||||
pf_fee = float(perp_live.fee)
|
||||
if perp_side == "long":
|
||||
perp_pnl = (pf_px - perp_entry) * perp_qty
|
||||
else:
|
||||
perp_pnl = (perp_entry - pf_px) * perp_qty
|
||||
|
||||
self.ledger.apply_cash(
|
||||
perp_pnl - pf_fee,
|
||||
kind="close_perp",
|
||||
group_id=group_id,
|
||||
note=f"LIVE close perp abandon option {reason}",
|
||||
)
|
||||
|
||||
# 复用父类归档写入：临时改 fill 路径太重，直接调用父类会再平一次本地假价。
|
||||
# 因此把实盘价写入后走父类结构——这里内联父类 abandon 的 DB 段。
|
||||
option_inst_id = str(pos["option_inst_id"])
|
||||
option_side = str(pos["option_side"])
|
||||
strike = self._group_strike(group_id, option_inst_id)
|
||||
g = self.db.fetchone("SELECT * FROM groups WHERE group_id=?", (group_id,))
|
||||
expiry_ymd = str(g["expiry_ymd"]) if g and g["expiry_ymd"] else None
|
||||
expiry_ms = None
|
||||
if expiry_ymd:
|
||||
try:
|
||||
from ..exchange.expiry import expiry_ms_from_ymd
|
||||
|
||||
expiry_ms = int(expiry_ms_from_ymd(expiry_ymd))
|
||||
except Exception:
|
||||
expiry_ms = None
|
||||
|
||||
now = int(time.time() * 1000)
|
||||
open_fees = float((g["fees"] if g else 0) or 0)
|
||||
fees = open_fees + pf_fee
|
||||
slip = float((g["slip_cost"] if g else 0) or 0)
|
||||
interim_net = perp_pnl - open_fees - pf_fee
|
||||
spot = self._close_spot_px(get_session().snapshot())
|
||||
|
||||
with self.db._lock:
|
||||
self.db._conn.execute(
|
||||
"""INSERT INTO fills(group_id, leg, action, side, inst_id, qty_eth, qty_contracts,
|
||||
base_px, fill_px, fee, slip, notional, ts_ms, exec_mode)
|
||||
VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
|
||||
(
|
||||
group_id,
|
||||
"perp",
|
||||
"close",
|
||||
"flat",
|
||||
s.perp_inst_id,
|
||||
perp_qty,
|
||||
None,
|
||||
pf_px,
|
||||
pf_px,
|
||||
pf_fee,
|
||||
0.0,
|
||||
pf_px * perp_qty,
|
||||
now,
|
||||
"LIVE",
|
||||
),
|
||||
)
|
||||
self.db._conn.execute(
|
||||
"""INSERT INTO residual_options(
|
||||
group_id, option_inst_id, option_side, option_qty_eth, option_qty_contracts,
|
||||
option_entry_px, strike, expiry_ymd, expiry_ms, entry_index_px,
|
||||
initial_premium, status, created_at_ms, note
|
||||
) VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
|
||||
(
|
||||
group_id,
|
||||
option_inst_id,
|
||||
option_side,
|
||||
float(pos["option_qty_eth"]),
|
||||
float(pos["option_qty_contracts"] or 0),
|
||||
float(pos["option_entry_px"]),
|
||||
float(strike) if strike is not None else None,
|
||||
expiry_ymd,
|
||||
expiry_ms,
|
||||
float(pos["entry_index_px"] or 0),
|
||||
float(pos["initial_premium"] or 0),
|
||||
"pending",
|
||||
now,
|
||||
f"LIVE abandoned after {reason}; spot={spot}",
|
||||
),
|
||||
)
|
||||
self.db._conn.execute(
|
||||
"""UPDATE groups SET status=?, close_reason=?, realized_pnl=?,
|
||||
fees=?, slip_cost=?, note=?, exec_mode=? WHERE group_id=?""",
|
||||
(
|
||||
"option_residual",
|
||||
reason,
|
||||
interim_net,
|
||||
fees,
|
||||
slip,
|
||||
"LIVE perp_closed; option residual until expiry",
|
||||
"LIVE",
|
||||
group_id,
|
||||
),
|
||||
)
|
||||
self.db._conn.execute(
|
||||
"""UPDATE positions SET
|
||||
group_id=NULL, perp_side=NULL, perp_qty_eth=0, perp_entry_px=NULL,
|
||||
option_inst_id=NULL, option_side=NULL, option_qty_eth=0, option_qty_contracts=0,
|
||||
option_entry_px=NULL, entry_index_px=NULL, initial_premium=0, status='flat'
|
||||
WHERE id=1"""
|
||||
)
|
||||
self.db._conn.commit()
|
||||
|
||||
return CloseResult(
|
||||
ok=True,
|
||||
detail="perp_closed_option_residual_live",
|
||||
data={"group_id": group_id, "reason": reason, "mode": "target_perp_only", "exec_mode": "LIVE"},
|
||||
)
|
||||
|
||||
|
||||
class BinanceLiveStub(Matcher):
|
||||
def open_group(self, **kwargs: Any) -> OpenResult: # type: ignore[override]
|
||||
return OpenResult(ok=False, detail="币安实盘下单尚未接入，请使用 OKX 或切回 SIM")
|
||||
|
||||
def close_group(self, **kwargs: Any) -> CloseResult: # type: ignore[override]
|
||||
return CloseResult(ok=False, detail="币安实盘下单尚未接入，请使用 OKX 或切回 SIM")
|
||||
|
||||
def close_perp_abandon_option(self, **kwargs: Any) -> CloseResult: # type: ignore[override]
|
||||
return CloseResult(ok=False, detail="币安实盘下单尚未接入，请使用 OKX 或切回 SIM")
|
||||
|
||||
|
||||
def get_executor(db=None) -> Matcher:
|
||||
"""按 MODE + 交易所返回执行器。"""
|
||||
from ..models.db import get_db
|
||||
|
||||
database = db or get_db()
|
||||
s = get_settings()
|
||||
if s.is_sim:
|
||||
return Matcher(database)
|
||||
ex = load_runtime_settings().exchange
|
||||
if ex == "binance":
|
||||
return BinanceLiveStub(database)
|
||||
return OkxLiveExecutor(database)
|
||||
@@ -0,0 +1,163 @@
|
||||
"""OKX V5 私有交易 REST（下单）。"""
|
||||
|
||||
from __future__ import annotations
|
||||
|
||||
import base64
|
||||
import hashlib
|
||||
import hmac
|
||||
import json
|
||||
import logging
|
||||
import time
|
||||
from dataclasses import dataclass
|
||||
from typing import Any
|
||||
|
||||
import httpx
|
||||
|
||||
from ..config import Settings, get_settings
|
||||
from ..exchange.okx.parse import safe_float
|
||||
|
||||
logger = logging.getLogger(__name__)
|
||||
|
||||
|
||||
@dataclass(slots=True)
|
||||
class LiveFill:
|
||||
inst_id: str
|
||||
side: str
|
||||
avg_px: float
|
||||
sz: float # 张或币，取决于合约
|
||||
fee: float
|
||||
ord_id: str
|
||||
raw: dict[str, Any]
|
||||
|
||||
|
||||
class OkxTradeClient:
|
||||
def __init__(self, settings: Settings | None = None) -> None:
|
||||
self.settings = settings or get_settings()
|
||||
proxy = (self.settings.okx_http_proxy or "").strip() or None
|
||||
self._client = httpx.Client(
|
||||
base_url=self.settings.okx_rest_base.rstrip("/"),
|
||||
timeout=20.0,
|
||||
proxy=proxy,
|
||||
headers={"Accept": "application/json", "User-Agent": "eth-hedge-live/0.1"},
|
||||
)
|
||||
self._ct_val_cache: dict[str, float] = {}
|
||||
|
||||
def close(self) -> None:
|
||||
self._client.close()
|
||||
|
||||
def _ts(self) -> str:
|
||||
# OKX: ISO8601 with milliseconds
|
||||
return (
|
||||
time.strftime("%Y-%m-%dT%H:%M:%S", time.gmtime())
|
||||
+ f".{int(time.time() * 1000) % 1000:03d}Z"
|
||||
)
|
||||
|
||||
def _sign(self, ts: str, method: str, path: str, body: str) -> str:
|
||||
secret = (self.settings.okx_api_secret or "").encode("utf-8")
|
||||
msg = f"{ts}{method.upper()}{path}{body}".encode("utf-8")
|
||||
dig = hmac.new(secret, msg, hashlib.sha256).digest()
|
||||
return base64.b64encode(dig).decode("utf-8")
|
||||
|
||||
def _headers(self, ts: str, sign: str) -> dict[str, str]:
|
||||
return {
|
||||
"OK-ACCESS-KEY": self.settings.okx_api_key or "",
|
||||
"OK-ACCESS-SIGN": sign,
|
||||
"OK-ACCESS-TIMESTAMP": ts,
|
||||
"OK-ACCESS-PASSPHRASE": self.settings.okx_api_passphrase or "",
|
||||
"Content-Type": "application/json",
|
||||
}
|
||||
|
||||
def _request(
|
||||
self, method: str, path: str, body: dict[str, Any] | None = None
|
||||
) -> list[dict[str, Any]]:
|
||||
payload = "" if body is None else json.dumps(body, separators=(",", ":"))
|
||||
ts = self._ts()
|
||||
sign = self._sign(ts, method, path, payload)
|
||||
headers = self._headers(ts, sign)
|
||||
if method.upper() == "GET":
|
||||
r = self._client.get(path, headers=headers)
|
||||
else:
|
||||
r = self._client.request(method.upper(), path, content=payload, headers=headers)
|
||||
r.raise_for_status()
|
||||
data = r.json()
|
||||
if str(data.get("code")) != "0":
|
||||
raise RuntimeError(
|
||||
f"OKX trade error code={data.get('code')} msg={data.get('msg')} data={data.get('data')}"
|
||||
)
|
||||
rows = data.get("data") or []
|
||||
return [x for x in rows if isinstance(x, dict)]
|
||||
|
||||
def get_ct_val(self, inst_id: str, *, inst_type: str) -> float:
|
||||
if inst_id in self._ct_val_cache:
|
||||
return self._ct_val_cache[inst_id]
|
||||
r = self._client.get(
|
||||
"/api/v5/public/instruments",
|
||||
params={"instType": inst_type, "instId": inst_id},
|
||||
)
|
||||
r.raise_for_status()
|
||||
body = r.json()
|
||||
rows = body.get("data") or []
|
||||
for row in rows:
|
||||
if str(row.get("instId")) == inst_id:
|
||||
v = safe_float(row.get("ctVal")) or safe_float(row.get("ctMult"))
|
||||
if v and v > 0:
|
||||
self._ct_val_cache[inst_id] = float(v)
|
||||
return float(v)
|
||||
default = 0.01
|
||||
self._ct_val_cache[inst_id] = default
|
||||
return default
|
||||
|
||||
def place_market(
|
||||
self,
|
||||
*,
|
||||
inst_id: str,
|
||||
side: str, # buy|sell
|
||||
sz: str,
|
||||
td_mode: str,
|
||||
pos_side: str | None = None,
|
||||
reduce_only: bool = False,
|
||||
) -> LiveFill:
|
||||
body: dict[str, Any] = {
|
||||
"instId": inst_id,
|
||||
"tdMode": td_mode,
|
||||
"side": side,
|
||||
"ordType": "market",
|
||||
"sz": str(sz),
|
||||
}
|
||||
if pos_side:
|
||||
body["posSide"] = pos_side
|
||||
if reduce_only:
|
||||
body["reduceOnly"] = True
|
||||
rows = self._request("POST", "/api/v5/trade/order", body)
|
||||
if not rows:
|
||||
raise RuntimeError("OKX 下单无返回")
|
||||
ord_id = str(rows[0].get("ordId") or "")
|
||||
# 查单取均价
|
||||
fill = self._wait_fill(inst_id, ord_id)
|
||||
return fill
|
||||
|
||||
def _wait_fill(self, inst_id: str, ord_id: str, *, tries: int = 8) -> LiveFill:
|
||||
path = f"/api/v5/trade/order?instId={inst_id}&ordId={ord_id}"
|
||||
last: dict[str, Any] = {}
|
||||
for _ in range(tries):
|
||||
rows = self._request("GET", path)
|
||||
if rows:
|
||||
last = rows[0]
|
||||
state = str(last.get("state") or "")
|
||||
avg = safe_float(last.get("avgPx"))
|
||||
if state in ("filled", "partially_filled") and avg and avg > 0:
|
||||
fee = abs(safe_float(last.get("fee")) or 0.0)
|
||||
sz = safe_float(last.get("accFillSz")) or safe_float(last.get("sz")) or 0.0
|
||||
return LiveFill(
|
||||
inst_id=inst_id,
|
||||
side=str(last.get("side") or ""),
|
||||
avg_px=float(avg),
|
||||
sz=float(sz),
|
||||
fee=float(fee),
|
||||
ord_id=ord_id,
|
||||
raw=last,
|
||||
)
|
||||
if state in ("canceled", "failed"):
|
||||
raise RuntimeError(f"OKX 订单失败 state={state} {last}")
|
||||
time.sleep(0.25)
|
||||
raise RuntimeError(f"OKX 订单未成交 ordId={ord_id} last={last}")
|
||||
Reference in New Issue
Block a user