dekun
125 lines
4.1 KiB
Python
125 lines
4.1 KiB
Python
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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