first commit

2026-08-01 10:33:19 +08:00
commit d9a34d4f20
72 changed files with 5499 additions and 0 deletions
@@ -0,0 +1,154 @@
+"""OKX REST 只读行情。禁止任何交易类接口。"""
+
+from __future__ import annotations
+
+from typing import Any
+
+import httpx
+
+
+def safe_float(v: Any) -> float | None:
+    if v is None or v == "":
+        return None
+    try:
+        return float(v)
+    except (TypeError, ValueError):
+        return None
+
+
+class OkxRestClient:
+    """仅调用公开行情 / 公共接口。"""
+
+    # 硬黑名单：防止误用交易路径
+    _FORBIDDEN_PREFIXES = (
+        "/api/v5/trade",
+        "/api/v5/account",
+        "/api/v5/asset",
+        "/api/v5/users",
+    )
+
+    def __init__(
+        self,
+        base_url: str = "https://www.okx.com",
+        timeout: float = 15.0,
+        proxy: str | None = None,
+    ) -> None:
+        self.base_url = base_url.rstrip("/")
+        self.proxy = (proxy or "").strip() or None
+        self._client = httpx.Client(
+            base_url=self.base_url,
+            timeout=timeout,
+            proxy=self.proxy,
+            headers={"Accept": "application/json", "User-Agent": "market_intel/0.1"},
+        )
+
+    def close(self) -> None:
+        self._client.close()
+
+    def __enter__(self) -> OkxRestClient:
+        return self
+
+    def __exit__(self, *args: object) -> None:
+        self.close()
+
+    def _get(self, path: str, params: dict[str, Any] | None = None) -> list[dict[str, Any]]:
+        for bad in self._FORBIDDEN_PREFIXES:
+            if path.startswith(bad):
+                raise RuntimeError(f"forbidden trading path: {path}")
+        r = self._client.get(path, params=params or {})
+        r.raise_for_status()
+        body = r.json()
+        if str(body.get("code")) != "0":
+            raise RuntimeError(f"OKX REST error code={body.get('code')} msg={body.get('msg')}")
+        data = body.get("data") or []
+        return [x for x in data if isinstance(x, dict)]
+
+    def _get_raw(self, path: str, params: dict[str, Any] | None = None) -> list[Any]:
+        for bad in self._FORBIDDEN_PREFIXES:
+            if path.startswith(bad):
+                raise RuntimeError(f"forbidden trading path: {path}")
+        r = self._client.get(path, params=params or {})
+        r.raise_for_status()
+        body = r.json()
+        if str(body.get("code")) != "0":
+            raise RuntimeError(f"OKX REST error code={body.get('code')} msg={body.get('msg')}")
+        data = body.get("data") or []
+        return data if isinstance(data, list) else []
+
+    def fetch_option_instruments(self, inst_family: str) -> list[dict[str, Any]]:
+        rows = self._get(
+            "/api/v5/public/instruments",
+            {"instType": "OPTION", "instFamily": inst_family},
+        )
+        return [r for r in rows if str(r.get("state") or "").lower() == "live"]
+
+    def fetch_index_ticker(self, inst_id: str) -> float | None:
+        rows = self._get("/api/v5/market/index-tickers", {"instId": inst_id})
+        if not rows:
+            return None
+        return safe_float(rows[0].get("idxPx"))
+
+    def fetch_index_at(
+        self, inst_id: str, target_ts_ms: int
+    ) -> tuple[float | None, int | None]:
+        """
+        用 1m 历史指数 K 线取最接近 target 的收盘价。
+        OKX: /api/v5/market/history-index-candles
+        candle: [ts, o, h, l, c, confirm, ...]
+        """
+        # before = 请求此时间戳之前的数据；取到期前后窗口
+        before = int(target_ts_ms) + 60_000
+        after = int(target_ts_ms) - 10 * 60_000
+        rows = self._get_raw(
+            "/api/v5/market/history-index-candles",
+            {
+                "instId": inst_id,
+                "bar": "1m",
+                "before": str(before),
+                "after": str(after),
+                "limit": "20",
+            },
+        )
+        best_px: float | None = None
+        best_ts: int | None = None
+        best_delta: int | None = None
+        for row in rows:
+            if not isinstance(row, (list, tuple)) or len(row) < 5:
+                continue
+            ts = safe_float(row[0])
+            close = safe_float(row[4])
+            if ts is None or close is None:
+                continue
+            ts_i = int(ts)
+            delta = abs(ts_i - int(target_ts_ms))
+            if best_delta is None or delta < best_delta:
+                best_delta = delta
+                best_px = close
+                best_ts = ts_i
+        if best_delta is not None and best_delta > 5 * 60_000:
+            return None, None
+        return best_px, best_ts
+
+    def fetch_books(
+        self, inst_id: str, sz: int = 5
+    ) -> tuple[float | None, float | None, float | None, float | None, int | None]:
+        """返回 ask, bid, ask_sz, bid_sz, ts_ms。"""
+        rows = self._get(
+            "/api/v5/market/books",
+            {"instId": inst_id, "sz": str(max(1, min(int(sz), 400)))},
+        )
+        if not rows:
+            return None, None, None, None, None
+        row = rows[0]
+        ts = safe_float(row.get("ts"))
+        ts_ms = int(ts) if ts is not None else None
+        asks = row.get("asks") or []
+        bids = row.get("bids") or []
+        ask = ask_sz = bid = bid_sz = None
+        if asks and isinstance(asks[0], (list, tuple)) and len(asks[0]) >= 2:
+            ask = safe_float(asks[0][0])
+            ask_sz = safe_float(asks[0][1])
+        if bids and isinstance(bids[0], (list, tuple)) and len(bids[0]) >= 2:
+            bid = safe_float(bids[0][0])
+            bid_sz = safe_float(bids[0][1])
+        return ask, bid, ask_sz, bid_sz, ts_ms