first commit

2026-08-01 10:33:19 +08:00
commit d9a34d4f20
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+"""采集入口：OKX 指数 + ATM Call/Put 周期采样落库。"""
+
+from __future__ import annotations
+
+import logging
+import signal
+import sys
+import time
+from typing import Any
+
+from apps.collector.okx_rest import OkxRestClient
+from apps.collector.selectors import rows_to_contracts, select_atm_pair
+from packages.config import get_settings
+from packages.db import Repository
+from packages.db.repository import OptionQuoteRow
+from packages.domain import option_leverage
+from packages.notify import wecom
+
+logging.basicConfig(
+    level=logging.INFO,
+    format="%(asctime)s %(levelname)s [collector] %(message)s",
+    datefmt="%Y-%m-%d %H:%M:%S",
+)
+log = logging.getLogger("collector")
+
+_STOP = False
+
+
+def _handle_signal(signum: int, _frame: Any) -> None:
+    global _STOP
+    log.info("signal %s received, stopping…", signum)
+    _STOP = True
+
+
+def _now_ms() -> int:
+    return int(time.time() * 1000)
+
+
+def sample_once(
+    client: OkxRestClient,
+    repo: Repository,
+    *,
+    contracts_cache: list[dict[str, Any]],
+    settings: Any,
+) -> dict[str, Any]:
+    ts_ms = _now_ms()
+    index_px = client.fetch_index_ticker(settings.index_inst_id)
+    if index_px is None or index_px <= 0:
+        raise RuntimeError(f"index unavailable: {settings.index_inst_id}")
+
+    repo.insert_index_tick(
+        ts_ms=ts_ms,
+        exchange="okx",
+        underlying=settings.underlying,
+        index_px=float(index_px),
+    )
+
+    pair = select_atm_pair(
+        contracts_cache,
+        index_px=float(index_px),
+        min_hours=float(settings.min_option_hours),
+    )
+    if pair is None:
+        raise RuntimeError("no eligible ATM option pair")
+
+    meta: dict[str, Any] = {
+        "index_px": index_px,
+        "expiry_ymd": pair.expiry_ymd,
+        "strike": pair.strike,
+        "call_inst_id": pair.call_inst_id,
+        "put_inst_id": pair.put_inst_id,
+    }
+
+    for side, inst_id in (("C", pair.call_inst_id), ("P", pair.put_inst_id)):
+        ask, bid, ask_sz, bid_sz, book_ts = client.fetch_books(inst_id)
+        lev = option_leverage(float(index_px), ask)
+        repo.insert_option_quote(
+            OptionQuoteRow(
+                ts_ms=book_ts or ts_ms,
+                exchange="okx",
+                underlying=settings.underlying,
+                inst_id=inst_id,
+                expiry_ymd=pair.expiry_ymd,
+                strike=pair.strike,
+                side=side,
+                index_px=float(index_px),
+                ask=ask,
+                bid=bid,
+                ask_sz=ask_sz,
+                bid_sz=bid_sz,
+                leverage=lev,
+            )
+        )
+        meta[f"{side}_ask"] = ask
+        meta[f"{side}_leverage"] = lev
+
+    return meta
+
+
+def run() -> int:
+    settings = get_settings()
+    log.info(
+        "start underlying=%s family=%s interval=%ss db=%s",
+        settings.underlying,
+        settings.option_inst_family,
+        settings.sample_interval_sec,
+        settings.db_path,
+    )
+
+    repo = Repository(settings.db_path)
+    client = OkxRestClient(
+        base_url=settings.okx_base_url,
+        proxy=settings.okx_proxy or None,
+    )
+
+    contracts: list[dict[str, Any]] = []
+    last_instruments_at = 0.0
+
+    try:
+        while not _STOP:
+            t0 = time.monotonic()
+            try:
+                now = time.monotonic()
+                if (
+                    not contracts
+                    or now - last_instruments_at >= float(settings.instruments_refresh_sec)
+                ):
+                    raw = client.fetch_option_instruments(settings.option_inst_family)
+                    contracts = rows_to_contracts(raw)
+                    last_instruments_at = now
+                    log.info("instruments refreshed: %d contracts", len(contracts))
+
+                meta = sample_once(client, repo, contracts_cache=contracts, settings=settings)
+                repo.upsert_heartbeat(ok=True, meta=meta)
+                wecom.notify_collector_recovered()
+                log.info(
+                    "sampled index=%.2f expiry=%s strike=%.0f C_lev=%s P_lev=%s",
+                    meta["index_px"],
+                    meta["expiry_ymd"],
+                    meta["strike"],
+                    f"{meta.get('C_leverage'):.1f}" if meta.get("C_leverage") else "-",
+                    f"{meta.get('P_leverage'):.1f}" if meta.get("P_leverage") else "-",
+                )
+            except Exception as e:  # noqa: BLE001 — 单次失败记日志并跳过
+                log.exception("sample failed: %s", e)
+                repo.upsert_heartbeat(ok=False, error=str(e))
+                hb = repo.get_heartbeat()
+                wecom.notify_collector_fault(
+                    error=str(e),
+                    consecutive_failures=int(hb.get("consecutive_failures") or 0),
+                )
+
+            elapsed = time.monotonic() - t0
+            sleep_for = max(1.0, float(settings.sample_interval_sec) - elapsed)
+            # 可中断 sleep
+            end = time.monotonic() + sleep_for
+            while not _STOP and time.monotonic() < end:
+                time.sleep(min(0.5, end - time.monotonic()))
+    finally:
+        client.close()
+        repo.close()
+        log.info("stopped")
+    return 0
+
+
+def main() -> None:
+    signal.signal(signal.SIGINT, _handle_signal)
+    signal.signal(signal.SIGTERM, _handle_signal)
+    sys.exit(run())
+
+
+if __name__ == "__main__":
+    main()