hyperquant 0.44__py3-none-any.whl → 0.45__py3-none-any.whl

hyperquant/broker/models/ourbit.py

@@ -697,69 +697,85 @@ class SpotBook(DataStore):
         # super().__init__()
         self._time: int | None = None
         self.limit = 1
+        self.loss = True
+        self.version = None
 
     def _onresponse(self, data: dict[str, Any]):
+        data = data.get("data")
+        symbol = data.get("symbol")
+        book_data = data.get("data")
+        asks = book_data.get("asks", [])
+        bids = book_data.get("bids", [])
+        version = int(data.get("version", 0))
+
+        # 保存当前快照版本
+        self.version = version
+        
+        # 应用缓存的增量（只保留连续的部分）
+        items: list = self.find({"s": symbol})
+        items.sort(key=lambda x: x.get("fv", 0))  # 按 fromVersion 排序
 
-        top = data.get("data") or data.get("d") or data
-        symbol = (
-            top.get("s")
-            or top.get("symbol")
-            or (top.get("data") or {}).get("symbol")
-        )
-
-        inner = top.get("data") or top
-        asks = inner.get("asks") or []
-        bids = inner.get("bids") or []
-
-        items: list[Item] = []
-        if symbol:
-            # Snapshot semantics: rebuild entries for this symbol
-            self._find_and_delete({"s": symbol})
-
-        def extract_pq(level: Any) -> tuple[Any, Any] | None:
-            # Accept dict {"p": x, "q": y} or list/tuple [p, q, ...]
-            if isinstance(level, dict):
-                p = level.get("p")
-                q = level.get("q")
-                return (p, q)
-            if isinstance(level, (list, tuple)) and len(level) >= 2:
-                return (level[0], level[1])
-            return None
-
+        # 清空旧数据，插入快照
+        self._find_and_delete({"s": symbol})
+        
         for side, S in ((asks, "a"), (bids, "b")):
-            for level in side:
-                pq = extract_pq(level)
-                if not pq:
-                    continue
-                p, q = pq
-                if p is None or q is None:
-                    continue
-                try:
-                    if float(q) == 0.0:
-                        continue
-                except (TypeError, ValueError):
-                    continue
-                items.append({"s": symbol, "S": S, "p": p, "q": q})
+            for item in side:
+                self._insert([{"s": symbol, "S": S, "p": item["p"], "q": item["q"]}])
 
         if items:
-            self._insert(items)
-    
-        sort_data = self.sorted({'s': symbol}, self.limit)
-        asks = sort_data.get('a', [])
-        bids = sort_data.get('b', [])
-        self._find_and_delete({'s': symbol})
-        self._update(asks + bids)
-        
+            min_version = min(item.get("fv", 0) for item in items)
+            max_version = max(item.get("tv", 0) for item in items)
+            self.version = max_version
+
+            if not (min_version <= self.version <= max_version):
+                self.loss = True
+                logger.warning(f"SpotBook: Snapshot version {self.version} out of range ({min_version}, {max_version}) for symbol={symbol} (丢补丁)")
+                return
+
+            self.loss = False
+            for item in items:
+                fv, tv = item.get("fv", 0), item.get("tv", 0)
+                if self.version <= tv and self.version >= fv:
+                    self._insert([{ "s": symbol, "S": item["S"], "p": item["p"], "q": item["q"]}])
+        else:
+            self.loss = False
 
 
     def _on_message(self, msg: dict[str, Any]) -> None:
+
         ts = time.time() * 1000  # 预留时间戳（如需记录可用）
         data   = msg.get("d", {}) or {}
         symbol = msg.get("s")
-
+        fv = int(data.get("fromVersion"))
+        tv = int(data.get("toVersion"))
         asks: list = data.get("asks", []) or []
         bids: list = data.get("bids", []) or []
 
+        # 以下几张情况都会被认为正常
+        check_con = (
+            self.version is None or
+            fv <= self.version <= tv or
+            self.version + 1 == fv
+        )
+
+        if not check_con:
+            logger.warning(f"(丢补丁)  version:{self.version} fv:{fv} tv:{tv} msg:\n {msg}")
+            # self.loss = True # 暂时不这样做
+            return
+        
+        self.version = tv
+
+        if self.loss:
+            for item in asks:
+                self._insert(
+                    [{"s": symbol, "S": "a", "p": item["p"], "q": item["q"], "fv": fv, "tv": tv}]
+                )
+            for item in bids:
+                self._insert(
+                    [{"s": symbol, "S": "b", "p": item["p"], "q": item["q"], "fv": fv, "tv": tv}]
+                )
+            return
+
         to_delete, to_update = [], []
         for side, S in ((asks, "a"), (bids, "b")):
             for item in side:
@@ -777,7 +793,7 @@ class SpotBook(DataStore):
         self._find_and_delete({'s': symbol})
         self._update(asks + bids)
 
-        # print(f'处理耗时: {time.time()*1000 - ts:.2f} ms')
+        print(f'处理耗时: {time.time()*1000 - ts:.2f} ms')
 
     
 

hyperquant/broker/ourbit.py

@@ -389,31 +389,20 @@ class OurbitSpot:
         Args:
             symbols: 交易对符号，可以是单个字符串或字符串列表
         """
+        import logging
+        logger = logging.getLogger("OurbitSpot")
+
         if isinstance(symbols, str):
             symbols = [symbols]
 
-        # 并发获取每个交易对的初始深度数据
-        tasks = [
-            self.client.fetch('GET', f"{self.api_url}/api/platform/spot/market/depth?symbol={symbol}")
-            for symbol in symbols
-        ]
-        
-        # 等待所有请求完成
-        responses = await asyncio.gather(*tasks)
-        
-        # 处理响应数据
-        for response in responses:
-            self.store.book._onresponse(response.data)
-
         # 构建订阅参数
         subscription_params = []
         for symbol in symbols:
             subscription_params.append(f"spot@public.increase.aggre.depth@{symbol}")
 
-
         # 一次sub20个，超过需要分开订阅
         for i in range(0, len(subscription_params), 20):
-            self.client.ws_connect(
+            wsapp = self.client.ws_connect(
                 'wss://www.ourbit.com/ws?platform=web',
                 send_json={
                     "method": "SUBSCRIPTION",
@@ -422,6 +411,32 @@ class OurbitSpot:
                 },
                 hdlr_json=self.store.onmessage
             )
+            await wsapp._event.wait()
+        
+        # await asyncio.sleep(2)  # 等待ws连接稳定
+
+        # 并发获取每个交易对的初始深度数据
+        tasks = [
+            self.client.fetch('GET', f"{self.api_url}/api/platform/spot/market/depth?symbol={symbol}")
+            for symbol in symbols
+        ]
+        
+        # 等待所有请求完成
+        responses = await asyncio.gather(*tasks)
+        
+        # 处理响应数据
+        for idx, response in enumerate(responses):
+            symbol = symbols[idx]
+            self.store.book._onresponse(response.data)
+            # Check if initialization failed (loss is False), retry if so
+            retry_count = 0
+            while self.store.book.loss is True:
+                logger.warning(f"Orderbook initialization failed for {symbol}, refetching depth snapshot (retry {retry_count+1})")
+                await asyncio.sleep(0.1)
+                response_retry = await self.client.fetch('GET', f"{self.api_url}/api/platform/spot/market/depth?symbol={symbol}")
+                self.store.book._onresponse(response_retry.data)
+                retry_count += 1
+
 
     async def place_order(
         self,

{hyperquant-0.44.dist-info → hyperquant-0.45.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: hyperquant
-Version: 0.44
+Version: 0.45
 Summary: A minimal yet hyper-efficient backtesting framework for quantitative trading
 Project-URL: Homepage, https://github.com/yourusername/hyperquant
 Project-URL: Issues, https://github.com/yourusername/hyperquant/issues

{hyperquant-0.44.dist-info → hyperquant-0.45.dist-info}/RECORD

@@ -6,16 +6,16 @@ hyperquant/logkit.py,sha256=WALpXpIA3Ywr5DxKKK3k5EKubZ2h-ISGfc5dUReQUBQ,7795
 hyperquant/notikit.py,sha256=x5yAZ_tAvLQRXcRbcg-VabCaN45LUhvlTZnUqkIqfAA,3596
 hyperquant/broker/auth.py,sha256=oA9Yw1I59-u0Tnoj2e4wUup5q8V5T2qpga5RKbiAiZI,2614
 hyperquant/broker/hyperliquid.py,sha256=7MxbI9OyIBcImDelPJu-8Nd53WXjxPB5TwE6gsjHbto,23252
-hyperquant/broker/ourbit.py,sha256=WTzHcBkp_rP0VglVXmaClxBcdOBmdvl6SYQ2VFePC8c,17001
+hyperquant/broker/ourbit.py,sha256=BJvYjl4eusmtNRbLtnOyZaSla3SNBpOhdkCvCm1KseU,17786
 hyperquant/broker/ws.py,sha256=umRzxwCaZaRIgIq4YY-AuA0wCXFT0uOBmQbIXFY8CK0,1555
 hyperquant/broker/lib/hpstore.py,sha256=LnLK2zmnwVvhEbLzYI-jz_SfYpO1Dv2u2cJaRAb84D8,8296
 hyperquant/broker/lib/hyper_types.py,sha256=HqjjzjUekldjEeVn6hxiWA8nevAViC2xHADOzDz9qyw,991
 hyperquant/broker/models/hyperliquid.py,sha256=c4r5739ibZfnk69RxPjQl902AVuUOwT8RNvKsMtwXBY,9459
-hyperquant/broker/models/ourbit.py,sha256=v675rOYlZlEYim4sYlhbmuzl9GEg4n6mleGTNMgJKes,37726
+hyperquant/broker/models/ourbit.py,sha256=z3Hd6J3sFYom7DMO3VI_bf3JsU0is2ase-XM58oKNok,38544
 hyperquant/datavison/_util.py,sha256=92qk4vO856RqycO0YqEIHJlEg-W9XKapDVqAMxe6rbw,533
 hyperquant/datavison/binance.py,sha256=3yNKTqvt_vUQcxzeX4ocMsI5k6Q6gLZrvgXxAEad6Kc,5001
 hyperquant/datavison/coinglass.py,sha256=PEjdjISP9QUKD_xzXNzhJ9WFDTlkBrRQlVL-5pxD5mo,10482
 hyperquant/datavison/okx.py,sha256=yg8WrdQ7wgWHNAInIgsWPM47N3Wkfr253169IPAycAY,6898
-hyperquant-0.44.dist-info/METADATA,sha256=itx7CR0-SMl5xYTlIooqdeoEvaj9qUFL-LndqMWf_o4,4317
-hyperquant-0.44.dist-info/WHEEL,sha256=qtCwoSJWgHk21S1Kb4ihdzI2rlJ1ZKaIurTj_ngOhyQ,87
-hyperquant-0.44.dist-info/RECORD,,
+hyperquant-0.45.dist-info/METADATA,sha256=lhEnNY5bwlHfu_hyBBd9f3OX5gP4BkgiwR_TmzpLdYk,4317
+hyperquant-0.45.dist-info/WHEEL,sha256=qtCwoSJWgHk21S1Kb4ihdzI2rlJ1ZKaIurTj_ngOhyQ,87
+hyperquant-0.45.dist-info/RECORD,,