dekun
155 lines
5.5 KiB
Python
155 lines
5.5 KiB
Python
"""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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