hyperquant 0.26__py3-none-any.whl → 0.32__py3-none-any.whl

hyperquant/broker/models/ourbit.py

@@ -0,0 +1,502 @@
+from __future__ import annotations
+
+import asyncio
+import logging
+from typing import TYPE_CHECKING, Any, Awaitable
+
+import aiohttp
+from pybotters.store import DataStore, DataStoreCollection
+
+if TYPE_CHECKING:
+    from pybotters.typedefs import Item
+    from pybotters.ws import ClientWebSocketResponse
+
+
+logger = logging.getLogger(__name__)
+
+
+class Book(DataStore):
+    """深度数据存储类，用于处理订单簿深度信息
+
+    Channel: push.depth.step
+
+    用于存储和管理订单簿深度数据，包含买卖盘的价格和数量信息
+    Keys: ["symbol", "side", "px"]
+    - symbol: 交易对符号
+    - side: 买卖方向 (A: ask卖出, B: bid买入)
+    - px: 价格
+
+
+    """
+
+    _KEYS = ["symbol", "side", "px"]
+
+    def _init(self) -> None:
+        # super().__init__()
+        self._time: int | None = None
+
+    def _on_message(self, msg: dict[str, Any]) -> None:
+
+        symbol = msg.get("symbol")
+        data = msg.get("data", {})
+        asks = data.get("asks", [])
+        bids = data.get("bids", [])
+        timestamp = data.get("ct")  # 使用服务器时间
+
+        data_to_insert: list[Item] = []
+
+        # 先删除旧的订单簿数据
+        self._find_and_delete({"symbol": symbol})
+
+        # 处理买卖盘数据
+        for side_id, levels in (("B", bids), ("A", asks)):
+            for level in levels:
+                # level格式: [price, size, count]
+                if len(level) >= 3:
+                    price, size, count = level[0:3]
+                    data_to_insert.append(
+                        {
+                            "symbol": symbol,
+                            "side": side_id,
+                            "px": str(price),
+                            "sz": str(size),
+                            "count": count,
+                        }
+                    )
+
+        # 插入新的订单簿数据
+        self._insert(data_to_insert)
+        self._time = timestamp
+
+    @property
+    def time(self) -> int | None:
+        """返回最后更新时间"""
+        return self._time
+
+    @property
+    def sorted(self) -> dict[str, list[Item]]:
+        """获取排序后的订单簿数据
+
+        Returns:
+            返回按价格排序的买卖盘数据，卖盘升序，买盘降序
+
+        .. code-block:: python
+
+            {
+                "asks": [
+                    {"symbol": "BTC_USDT", "side": "A", "px": "110152.5", "sz": "53539", "count": 1},
+                    {"symbol": "BTC_USDT", "side": "A", "px": "110152.6", "sz": "95513", "count": 2}
+                ],
+                "bids": [
+                    {"symbol": "BTC_USDT", "side": "B", "px": "110152.4", "sz": "76311", "count": 1},
+                    {"symbol": "BTC_USDT", "side": "B", "px": "110152.3", "sz": "104688", "count": 2}
+                ]
+            }
+        """
+        return self._sorted(
+            item_key="side",
+            item_asc_key="A",  # asks 升序
+            item_desc_key="B",  # bids 降序
+            sort_key="px",
+        )
+
+
+class Ticker(DataStore):
+    _KEYS = ["symbol"]
+
+    def _on_message(self, data: dict[str, Any]):
+        self._onresponse(data)
+
+    def _onresponse(self, data: dict[str, Any]):
+        tickers = data.get("data", [])
+        if tickers:
+            data_to_insert: list[Item] = []
+            for ticker in tickers:
+                ticker: dict[str, Any] = ticker
+                for ticker in tickers:
+                    data_to_insert.append(
+                        {
+                            "amount24": ticker.get("amount24"),
+                            "fair_price": ticker.get("fairPrice"),
+                            "high24_price": ticker.get("high24Price"),
+                            "index_price": ticker.get("indexPrice"),
+                            "last_price": ticker.get("lastPrice"),
+                            "lower24_price": ticker.get("lower24Price"),
+                            "max_bid_price": ticker.get("maxBidPrice"),
+                            "min_ask_price": ticker.get("minAskPrice"),
+                            "rise_fall_rate": ticker.get("riseFallRate"),
+                            "symbol": ticker.get("symbol"),
+                            "timestamp": ticker.get("timestamp"),
+                            "volume24": ticker.get("volume24"),
+                        }
+                    )
+            # self._clear()
+            self._insert(data_to_insert)
+
+
+class Orders(DataStore):
+    _KEYS = ["order_id"]
+
+    # {'success': True, 'code': 0, 'data': [{'orderId': '219108574599630976', 'symbol': 'SOL_USDT', 'positionId': 0, 'price': 190, 'priceStr': '190', 'vol': 1, 'leverage': 20, 'side': 1, 'category': 1, 'orderType': 1, 'dealAvgPrice': 0, 'dealAvgPriceStr': '0', 'dealVol': 0, 'orderMargin': 0.09652, 'takerFee': 0, 'makerFee': 0, 'profit': 0, 'feeCurrency': 'USDT', 'openType': 1, 'state': 2, 'externalOid': '_m_2228b23a75204e1982b301e44d439cbb', 'errorCode': 0, 'usedMargin': 0, 'createTime': 1756277955008, 'updateTime': 1756277955037, 'positionMode': 1, 'version': 1, 'showCancelReason': 0, 'showProfitRateShare': 0, 'voucher': False}]}
+    def _onresponse(self, data: dict[str, Any]):
+        orders = data.get("data", [])
+        if orders:
+            data_to_insert: list[Item] = []
+            for order in orders:
+                order: dict[str, Any] = order
+
+                data_to_insert.append(
+                    {
+                        "order_id": order.get("orderId"),
+                        "symbol": order.get("symbol"),
+                        "px": order.get("priceStr"),
+                        "vol": order.get("vol"),
+                        "lev": order.get("leverage"),
+                        "side": "buy" if order.get("side") == 1 else "sell",
+                        "deal_vol": order.get("dealVol"),
+                        "deal_avg_px": order.get("dealAvgPriceStr"),
+                        "create_ts": order.get("createTime"),
+                        "update_ts": order.get("updateTime"),
+                    }
+                )
+
+            self._clear()
+            self._update(data_to_insert)
+
+
+class Detail(DataStore):
+    _KEYS = ["symbol"]
+
+    def _on_message(self, data: dict[str, Any]):
+        self._onresponse(data)
+
+    def _onresponse(self, data: dict[str, Any]):
+        details: dict = data.get("data", {})
+        data_to_insert: list[Item] = []
+        if details:
+            for detail in details:
+                data_to_insert.append(
+                    {
+                        "symbol": detail.get("symbol"),
+                        "ft": detail.get("ft"),
+                        "max_lev": detail.get("maxL"),
+                        "tick_size": detail.get("pu"),
+                        "vol_unit": detail.get("vu"),
+                        "io": detail.get("io"),
+                        "contract_sz": detail.get("cs"),
+                        "minv": detail.get("minV"),
+                        "maxv": detail.get("maxV")
+                    }
+                )
+        self._update(data_to_insert)
+
+class Position(DataStore):
+    _KEYS = ["position_id"]
+    # {"success":true,"code":0,"data":[{"positionId":5355366,"symbol":"SOL_USDT","positionType":1,"openType":1,"state":1,"holdVol":1,"frozenVol":0,"closeVol":0,"holdAvgPrice":203.44,"holdAvgPriceFullyScale":"203.44","openAvgPrice":203.44,"openAvgPriceFullyScale":"203.44","closeAvgPrice":0,"liquidatePrice":194.07,"oim":0.10253376,"im":0.10253376,"holdFee":0,"realised":-0.0008,"leverage":20,"marginRatio":0.0998,"createTime":1756275984696,"updateTime":1756275984696,"autoAddIm":false,"version":1,"profitRatio":0,"newOpenAvgPrice":203.44,"newCloseAvgPrice":0,"closeProfitLoss":0,"fee":0.00081376}]}
+    def _onresponse(self, data: dict[str, Any]):
+        positions = data.get("data", [])
+        if positions:
+            data_to_insert: list[Item] = []
+            for position in positions:
+                position: dict[str, Any] = position
+
+                data_to_insert.append(
+                    {
+                        "position_id": position.get("positionId"),
+                        "symbol": position.get("symbol"),
+                        "side": "short" if position.get("positionType") == 2 else "long",
+                        "open_type": position.get("openType"),
+                        "state": position.get("state"),
+                        "hold_vol": position.get("holdVol"),
+                        "frozen_vol": position.get("frozenVol"),
+                        "close_vol": position.get("closeVol"),
+                        "hold_avg_price": position.get("holdAvgPriceFullyScale"),
+                        "open_avg_price": position.get("openAvgPriceFullyScale"),
+                        "close_avg_price": str(position.get("closeAvgPrice")),
+                        "liquidate_price": str(position.get("liquidatePrice")),
+                        "oim": position.get("oim"),
+                        "im": position.get("im"),
+                        "hold_fee": position.get("holdFee"),
+                        "realised": position.get("realised"),
+                        "leverage": position.get("leverage"),
+                        "margin_ratio": position.get("marginRatio"),
+                        "create_ts": position.get("createTime"),
+                        "update_ts": position.get("updateTime"),
+                    }
+                )
+
+            self._clear()
+            self._insert(data_to_insert)
+
+class Balance(DataStore):
+    _KEYS = ["currency"]
+
+    def _onresponse(self, data: dict[str, Any]):
+        balances = data.get("data", [])
+        if balances:
+            data_to_insert: list[Item] = []
+            for balance in balances:
+                balance: dict[str, Any] = balance
+                data_to_insert.append({
+                    "currency": balance.get("currency"),
+                    "position_margin": balance.get("positionMargin"),
+                    "available_balance": balance.get("availableBalance"),
+                    "cash_balance": balance.get("cashBalance"),
+                    "frozen_balance": balance.get("frozenBalance"),
+                    "equity": balance.get("equity"),
+                    "unrealized": balance.get("unrealized"),
+                    "bonus": balance.get("bonus"),
+                    "last_bonus": balance.get("lastBonus"),
+                    "wallet_balance": balance.get("walletBalance"),
+                    "voucher": balance.get("voucher"),
+                    "voucher_using": balance.get("voucherUsing"),
+                })
+            self._clear()
+            self._insert(data_to_insert)
+
+class OurbitSwapDataStore(DataStoreCollection):
+    """
+    Ourbit DataStoreCollection
+
+    REST API:
+      - 地址: https://futures.ourbit.com
+      - 合约详情
+        GET /api/v1/contract/detailV2?client=web
+      - ticker
+        GET /api/v1/contract/ticker
+      - open_orders
+        GET /api/v1/private/order/list/open_orders?page_size=200
+      - open_positions
+        GET /api/v1/private/position/open_positions
+
+    WebSocket API:
+      - 地址: wss://futures.ourbit.com/edge or /ws
+      - 支持频道:
+        * 深度数据（Book）: push.depth.step
+        * 行情数据（Ticker）: push.tickers
+
+    示例订阅 JSON:
+
+    .. code:: json
+
+        {
+            "method": "sub.depth.step",
+            "param": {
+                "symbol": "BTC_USDT",
+                "step": "0.1"
+            }
+        }
+
+    .. code:: json
+
+        {
+            "method": "sub.tickers",
+            "param": {
+                "timezone": "UTC+8"
+            }
+        }
+
+    TODO:
+      - 添加 trades、ticker、candle 等其他数据流
+    """
+
+    def _init(self) -> None:
+        self._create("book", datastore_class=Book)
+        self._create("detail", datastore_class=Detail)
+        self._create("ticker", datastore_class=Ticker)
+        self._create("orders", datastore_class=Orders)
+        self._create("position", datastore_class=Position)
+        self._create("balance", datastore_class=Balance)
+        # TODO: 添加其他数据流，如 trades, ticker, candle 等
+
+    def onmessage(self, msg: Item, ws: ClientWebSocketResponse | None = None) -> None:
+        channel = msg.get("channel")
+
+        if channel == "push.depth.step":
+            self.book._on_message(msg)
+        if channel == "push.tickers":
+            self.ticker._on_message(msg)
+        else:
+            logger.debug(f"未知的channel: {channel}")
+
+    async def initialize(self, *aws: Awaitable[aiohttp.ClientResponse]) -> None:
+        """Initialize DataStore from HTTP response data."""
+        for f in asyncio.as_completed(aws):
+            res = await f
+            data = await res.json()
+            if res.url.path == "/api/v1/contract/detailV2":
+                self.detail._onresponse(data)
+            if res.url.path == "/api/v1/contract/ticker":
+                self.ticker._onresponse(data)
+            if res.url.path == "/api/v1/private/order/list/open_orders":
+                self.orders._onresponse(data)
+            if res.url.path == "/api/v1/private/position/open_positions":
+                self.position._onresponse(data)
+            if res.url.path == "/api/v1/private/account/assets":
+                self.balance._onresponse(data)
+
+    @property
+    def detail(self) -> Detail:
+        """合约详情
+        Data structure:
+        .. code:: python
+        [
+            {
+                "symbol": "BTC_USDT",   # 交易对
+                "ft": 100,            # 合约面值
+                "max_lev": 100,       # 最大杠杆
+                "tick_size": 0.1,     # 最小变动价位
+                "vol_unit": 1,        # 合约单位
+                "io": ["binance", "mexc"],  # 交易所列表
+                "contract_sz": 1,
+                "minv": 1,
+                "maxv": 10000
+
+            }
+        ]
+        """
+        return self._get("detail", Detail)
+
+    @property
+    def book(self) -> Book:
+        """订单簿深度数据流
+
+        Data type: Mutable
+
+        Keys: ("symbol", "side", "px")
+
+        Data structure:
+
+        .. code:: python
+
+            [
+                {
+                    "symbol": "BTC_USDT",    # 交易对
+                    "side": "A",             # 卖出方向
+                    "px": "110152.5",        # 价格
+                    "sz": "53539",           # 数量
+                    "count": 1               # 订单数量
+                },
+                {
+                    "symbol": "BTC_USDT",    # 交易对
+                    "side": "B",             # 买入方向
+                    "px": "110152.4",        # 价格
+                    "sz": "76311",           # 数量
+                    "count": 1               # 订单数量
+                }
+            ]
+        """
+        return self._get("book", Book)
+
+    @property
+    def ticker(self) -> Ticker:
+        """市场行情数据流
+
+        Data type: Mutable
+
+        Keys: ("symbol",)
+
+        Data structure:
+
+        .. code:: python
+
+            [
+                {
+                    "symbol": "BTC_USDT",        # 交易对
+                    "last_price": "110152.5",    # 最新价格
+                    "index_price": "110000.0",   # 指数价格
+                    "fair_price": "110100.0",    # 公允价格
+                    "high24_price": "115000.0",  # 24小时最高价
+                    "lower24_price": "105000.0", # 24小时最低价
+                    "volume24": "1500",          # 24小时交易量
+                    "amount24": "165000000",     # 24小时交易额
+                    "rise_fall_rate": "0.05",    # 涨跌幅
+                    "max_bid_price": "110150.0", # 买一价
+                    "min_ask_price": "110155.0", # 卖一价
+                    "timestamp": 1625247600000   # 时间戳
+                }
+            ]
+        """
+        return self._get("ticker", Ticker)
+
+    @property
+    def orders(self) -> Orders:
+        """
+        订单数据
+        Data structure:
+
+        .. code:: json
+
+            [
+                {
+                    "id": "123456",
+                    "symbol": "BTC_USDT",
+                    "side": "buy",
+                    "price": "110152.5",
+                    "size": "0.1",
+                    "status": "open",
+                    "create_ts": 1625247600000,
+                    "update_ts": 1625247600000
+                }
+            ]
+        """
+        return self._get("orders", Orders)
+
+    @property
+    def position(self) -> Position:
+        """
+        持仓数据
+
+        Data structure:
+        .. code:: python
+        [
+            {
+                "position_id": "123456",
+                "symbol": "BTC_USDT",
+                "side": "long",
+                "open_type": "limit",
+                "state": "open",
+                "hold_vol": "0.1",
+                "frozen_vol": "0.0",
+                "close_vol": "0.0",
+                "hold_avg_price": "110152.5",
+                "open_avg_price": "110152.5",
+                "close_avg_price": "0.0",
+                "liquidate_price": "100000.0",
+                "oim": "0.0",
+                "im": "0.0",
+                "hold_fee": "0.0",
+                "realised": "0.0",
+                "leverage": "10",
+                "margin_ratio": "0.1",
+                "create_ts": 1625247600000,
+                "update_ts": 1625247600000
+            }
+        ]
+        """
+        return self._get("position", Position)
+
+    @property
+    def balance(self) -> Balance:
+        """账户余额数据
+        
+        Data structure:
+        .. code:: python
+            [
+                {
+                    "currency": "USDT",            # 币种
+                    "position_margin": 0.3052,     # 持仓保证金
+                    "available_balance": 19.7284,  # 可用余额
+                    "cash_balance": 19.7284,      # 现金余额
+                    "frozen_balance": 0,          # 冻结余额
+                    "equity": 19.9442,           # 权益
+                    "unrealized": -0.0895,       # 未实现盈亏
+                    "bonus": 0,                  # 奖励
+                    "last_bonus": 0,             # 最后奖励
+                    "wallet_balance": 20.0337,   # 钱包余额
+                    "voucher": 0,               # 代金券
+                    "voucher_using": 0          # 使用中的代金券
+                }
+            ]
+        """
+        return self._get("balance", Balance)