first commit
This commit is contained in:
dekun
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# OKX market collector
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"""采集入口：OKX 指数 + ATM Call/Put 周期采样落库。"""
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from __future__ import annotations
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import logging
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import signal
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import sys
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import time
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from typing import Any
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from apps.collector.okx_rest import OkxRestClient
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from apps.collector.selectors import rows_to_contracts, select_atm_pair
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from packages.config import get_settings
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from packages.db import Repository
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from packages.db.repository import OptionQuoteRow
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from packages.domain import option_leverage
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from packages.notify import wecom
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logging.basicConfig(
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level=logging.INFO,
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format="%(asctime)s %(levelname)s [collector] %(message)s",
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datefmt="%Y-%m-%d %H:%M:%S",
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)
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log = logging.getLogger("collector")
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_STOP = False
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def _handle_signal(signum: int, _frame: Any) -> None:
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global _STOP
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log.info("signal %s received, stopping…", signum)
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_STOP = True
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def _now_ms() -> int:
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return int(time.time() * 1000)
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def sample_once(
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client: OkxRestClient,
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repo: Repository,
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*,
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contracts_cache: list[dict[str, Any]],
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settings: Any,
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) -> dict[str, Any]:
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ts_ms = _now_ms()
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index_px = client.fetch_index_ticker(settings.index_inst_id)
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if index_px is None or index_px <= 0:
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raise RuntimeError(f"index unavailable: {settings.index_inst_id}")
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repo.insert_index_tick(
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ts_ms=ts_ms,
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exchange="okx",
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underlying=settings.underlying,
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index_px=float(index_px),
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)
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pair = select_atm_pair(
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contracts_cache,
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index_px=float(index_px),
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min_hours=float(settings.min_option_hours),
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)
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if pair is None:
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raise RuntimeError("no eligible ATM option pair")
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meta: dict[str, Any] = {
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"index_px": index_px,
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"expiry_ymd": pair.expiry_ymd,
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"strike": pair.strike,
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"call_inst_id": pair.call_inst_id,
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"put_inst_id": pair.put_inst_id,
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}
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for side, inst_id in (("C", pair.call_inst_id), ("P", pair.put_inst_id)):
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ask, bid, ask_sz, bid_sz, book_ts = client.fetch_books(inst_id)
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lev = option_leverage(float(index_px), ask)
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repo.insert_option_quote(
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OptionQuoteRow(
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ts_ms=book_ts or ts_ms,
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exchange="okx",
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underlying=settings.underlying,
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inst_id=inst_id,
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expiry_ymd=pair.expiry_ymd,
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strike=pair.strike,
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side=side,
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index_px=float(index_px),
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ask=ask,
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bid=bid,
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ask_sz=ask_sz,
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bid_sz=bid_sz,
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leverage=lev,
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)
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)
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meta[f"{side}_ask"] = ask
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meta[f"{side}_leverage"] = lev
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return meta
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def run() -> int:
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settings = get_settings()
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log.info(
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"start underlying=%s family=%s interval=%ss db=%s",
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settings.underlying,
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settings.option_inst_family,
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settings.sample_interval_sec,
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settings.db_path,
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)
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repo = Repository(settings.db_path)
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client = OkxRestClient(
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base_url=settings.okx_base_url,
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proxy=settings.okx_proxy or None,
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)
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contracts: list[dict[str, Any]] = []
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last_instruments_at = 0.0
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try:
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while not _STOP:
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t0 = time.monotonic()
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try:
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now = time.monotonic()
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if (
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not contracts
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or now - last_instruments_at >= float(settings.instruments_refresh_sec)
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):
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raw = client.fetch_option_instruments(settings.option_inst_family)
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contracts = rows_to_contracts(raw)
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last_instruments_at = now
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log.info("instruments refreshed: %d contracts", len(contracts))
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meta = sample_once(client, repo, contracts_cache=contracts, settings=settings)
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repo.upsert_heartbeat(ok=True, meta=meta)
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wecom.notify_collector_recovered()
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log.info(
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"sampled index=%.2f expiry=%s strike=%.0f C_lev=%s P_lev=%s",
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meta["index_px"],
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meta["expiry_ymd"],
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meta["strike"],
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f"{meta.get('C_leverage'):.1f}" if meta.get("C_leverage") else "-",
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f"{meta.get('P_leverage'):.1f}" if meta.get("P_leverage") else "-",
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)
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except Exception as e: # noqa: BLE001 — 单次失败记日志并跳过
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log.exception("sample failed: %s", e)
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repo.upsert_heartbeat(ok=False, error=str(e))
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hb = repo.get_heartbeat()
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wecom.notify_collector_fault(
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error=str(e),
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consecutive_failures=int(hb.get("consecutive_failures") or 0),
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)
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elapsed = time.monotonic() - t0
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sleep_for = max(1.0, float(settings.sample_interval_sec) - elapsed)
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# 可中断 sleep
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end = time.monotonic() + sleep_for
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while not _STOP and time.monotonic() < end:
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time.sleep(min(0.5, end - time.monotonic()))
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finally:
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client.close()
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repo.close()
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log.info("stopped")
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return 0
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def main() -> None:
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signal.signal(signal.SIGINT, _handle_signal)
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signal.signal(signal.SIGTERM, _handle_signal)
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sys.exit(run())
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if __name__ == "__main__":
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main()
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@@ -0,0 +1,154 @@
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"""OKX REST 只读行情。禁止任何交易类接口。"""
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from __future__ import annotations
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from typing import Any
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import httpx
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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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class OkxRestClient:
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"""仅调用公开行情 / 公共接口。"""
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# 硬黑名单：防止误用交易路径
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_FORBIDDEN_PREFIXES = (
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"/api/v5/trade",
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"/api/v5/account",
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"/api/v5/asset",
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"/api/v5/users",
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)
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def __init__(
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self,
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base_url: str = "https://www.okx.com",
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timeout: float = 15.0,
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proxy: str | None = None,
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) -> None:
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self.base_url = base_url.rstrip("/")
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self.proxy = (proxy or "").strip() or None
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self._client = httpx.Client(
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base_url=self.base_url,
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timeout=timeout,
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proxy=self.proxy,
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headers={"Accept": "application/json", "User-Agent": "market_intel/0.1"},
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)
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def close(self) -> None:
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self._client.close()
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def __enter__(self) -> OkxRestClient:
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return self
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def __exit__(self, *args: object) -> None:
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self.close()
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def _get(self, path: str, params: dict[str, Any] | None = None) -> list[dict[str, Any]]:
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for bad in self._FORBIDDEN_PREFIXES:
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if path.startswith(bad):
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raise RuntimeError(f"forbidden trading path: {path}")
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r = self._client.get(path, params=params or {})
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r.raise_for_status()
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body = r.json()
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if str(body.get("code")) != "0":
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raise RuntimeError(f"OKX REST error code={body.get('code')} msg={body.get('msg')}")
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data = body.get("data") or []
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return [x for x in data if isinstance(x, dict)]
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def _get_raw(self, path: str, params: dict[str, Any] | None = None) -> list[Any]:
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for bad in self._FORBIDDEN_PREFIXES:
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if path.startswith(bad):
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raise RuntimeError(f"forbidden trading path: {path}")
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r = self._client.get(path, params=params or {})
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r.raise_for_status()
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body = r.json()
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if str(body.get("code")) != "0":
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raise RuntimeError(f"OKX REST error code={body.get('code')} msg={body.get('msg')}")
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data = body.get("data") or []
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return data if isinstance(data, list) else []
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def fetch_option_instruments(self, inst_family: str) -> list[dict[str, Any]]:
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rows = self._get(
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"/api/v5/public/instruments",
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{"instType": "OPTION", "instFamily": inst_family},
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)
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return [r for r in rows if str(r.get("state") or "").lower() == "live"]
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def fetch_index_ticker(self, inst_id: str) -> float | None:
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rows = self._get("/api/v5/market/index-tickers", {"instId": inst_id})
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if not rows:
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return None
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return safe_float(rows[0].get("idxPx"))
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def fetch_index_at(
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self, inst_id: str, target_ts_ms: int
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) -> tuple[float | None, int | None]:
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"""
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用 1m 历史指数 K 线取最接近 target 的收盘价。
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OKX: /api/v5/market/history-index-candles
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candle: [ts, o, h, l, c, confirm, ...]
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"""
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# before = 请求此时间戳之前的数据；取到期前后窗口
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before = int(target_ts_ms) + 60_000
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after = int(target_ts_ms) - 10 * 60_000
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rows = self._get_raw(
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"/api/v5/market/history-index-candles",
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{
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"instId": inst_id,
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"bar": "1m",
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"before": str(before),
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"after": str(after),
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"limit": "20",
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},
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)
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best_px: float | None = None
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best_ts: int | None = None
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best_delta: int | None = None
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for row in rows:
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if not isinstance(row, (list, tuple)) or len(row) < 5:
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continue
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ts = safe_float(row[0])
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close = safe_float(row[4])
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if ts is None or close is None:
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continue
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ts_i = int(ts)
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delta = abs(ts_i - int(target_ts_ms))
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if best_delta is None or delta < best_delta:
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best_delta = delta
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best_px = close
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best_ts = ts_i
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if best_delta is not None and best_delta > 5 * 60_000:
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return None, None
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return best_px, best_ts
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def fetch_books(
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self, inst_id: str, sz: int = 5
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) -> tuple[float | None, float | None, float | None, float | None, int | None]:
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"""返回 ask, bid, ask_sz, bid_sz, ts_ms。"""
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rows = self._get(
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"/api/v5/market/books",
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{"instId": inst_id, "sz": str(max(1, min(int(sz), 400)))},
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)
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if not rows:
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return None, None, None, None, None
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row = rows[0]
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ts = safe_float(row.get("ts"))
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ts_ms = int(ts) if ts is not None else None
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asks = row.get("asks") or []
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bids = row.get("bids") or []
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ask = ask_sz = bid = bid_sz = None
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if asks and isinstance(asks[0], (list, tuple)) and len(asks[0]) >= 2:
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ask = safe_float(asks[0][0])
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ask_sz = safe_float(asks[0][1])
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if bids and isinstance(bids[0], (list, tuple)) and len(bids[0]) >= 2:
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bid = safe_float(bids[0][0])
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bid_sz = safe_float(bids[0][1])
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return ask, bid, ask_sz, bid_sz, ts_ms
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@@ -0,0 +1,5 @@
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"""WebSocket 占位（P1 用 REST；WS 后期可接）。"""
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from __future__ import annotations
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# 第一期采集走 REST 轮询；此模块预留多路订阅入口。
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@@ -0,0 +1,157 @@
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"""ATM / 合资格到期选择。规则：最接近指数的行权价；最近剩余时长 ≥ min_hours 的到期。"""
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from __future__ import annotations
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import re
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from dataclasses import dataclass
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from datetime import datetime
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from typing import Any
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from zoneinfo import ZoneInfo
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from packages.domain.expiry import expiry_ms_from_ymd
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_SH = ZoneInfo("Asia/Shanghai")
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_DATE_RE = re.compile(r"^\d{6}$")
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@dataclass(frozen=True)
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class OptionPair:
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expiry_ymd: str
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expiry_ms: int
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strike: float
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call_inst_id: str
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put_inst_id: str
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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 rows_to_contracts(rows: list[dict[str, Any]]) -> list[dict[str, Any]]:
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out: list[dict[str, Any]] = []
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for row in rows:
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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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exp_ms: int | None = None
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if y is None or stk is None or opt is None:
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from datetime import timezone
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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")
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exp_ms = ms
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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
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if not inst_id or not y or stk is None or opt not in ("C", "P"):
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continue
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if exp_ms is None:
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exp_ms = expiry_ms_from_ymd(y)
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out.append(
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{
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"inst_id": inst_id,
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"expiry_ymd": y,
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"expiry_ms": int(exp_ms),
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"strike": float(stk),
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"side": opt,
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}
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)
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return out
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def hours_until_ms(expiry_ms: int, now: datetime | None = None) -> float:
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n = (now or datetime.now(tz=_SH)).astimezone(_SH)
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return (int(expiry_ms) - int(n.timestamp() * 1000)) / 3_600_000.0
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def pick_atm_strike(strikes: list[float], index_px: float) -> float | None:
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"""最接近指数的行权价（平值）。"""
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if not strikes or index_px <= 0:
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return None
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return min(strikes, key=lambda s: (abs(s - index_px), s))
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def _complete_by_expiry(
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contracts: list[dict[str, Any]],
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) -> dict[str, tuple[int, dict[float, dict[str, str]]]]:
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by_exp: dict[str, dict[float, dict[str, str]]] = {}
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ms_map: dict[str, int] = {}
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for c in contracts:
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y = str(c.get("expiry_ymd") or "")
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stk = c.get("strike")
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opt = str(c.get("side") or "").upper()
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inst_id = str(c.get("inst_id") or "")
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if not y or stk is None or opt not in ("C", "P") or not inst_id:
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continue
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by_exp.setdefault(y, {}).setdefault(float(stk), {})[opt] = inst_id
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if c.get("expiry_ms") is not None:
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ms_map[y] = int(c["expiry_ms"])
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out: dict[str, tuple[int, dict[float, dict[str, str]]]] = {}
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for ymd, strikes in by_exp.items():
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complete = {s: v for s, v in strikes.items() if "C" in v and "P" in v}
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if not complete:
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continue
|
||||
ems = ms_map.get(ymd) or expiry_ms_from_ymd(ymd)
|
||||
out[ymd] = (ems, complete)
|
||||
return out
|
||||
|
||||
|
||||
def select_atm_pair(
|
||||
contracts: list[dict[str, Any]],
|
||||
*,
|
||||
index_px: float,
|
||||
min_hours: float = 12.0,
|
||||
now: datetime | None = None,
|
||||
) -> OptionPair | None:
|
||||
"""
|
||||
选最近合资格到期（剩余 ≥ min_hours）+ ATM Call/Put。
|
||||
ATM = 行权价最接近指数。
|
||||
"""
|
||||
complete = _complete_by_expiry(contracts)
|
||||
if not complete or index_px <= 0:
|
||||
return None
|
||||
eligible = [
|
||||
ymd
|
||||
for ymd, (ems, _) in complete.items()
|
||||
if hours_until_ms(ems, now) + 1e-9 >= float(min_hours)
|
||||
]
|
||||
if not eligible:
|
||||
return None
|
||||
eligible.sort(key=lambda y: complete[y][0])
|
||||
ymd = eligible[0]
|
||||
ems, strikes_map = complete[ymd]
|
||||
strike = pick_atm_strike(list(strikes_map.keys()), index_px)
|
||||
if strike is None:
|
||||
return None
|
||||
legs = strikes_map[strike]
|
||||
return OptionPair(
|
||||
expiry_ymd=ymd,
|
||||
expiry_ms=ems,
|
||||
strike=float(strike),
|
||||
call_inst_id=legs["C"],
|
||||
put_inst_id=legs["P"],
|
||||
)
|
||||
Reference in New Issue
Block a user