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