eth_hedge_sim/backend/app/live/okx_trade.py

"""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}")