hyperquant 0.44__tar.gz → 0.46__tar.gz

{hyperquant-0.44 → hyperquant-0.46}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: hyperquant
-Version: 0.44
+Version: 0.46
 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 → hyperquant-0.46}/pyproject.toml

@@ -1,6 +1,6 @@
 [project]
 name = "hyperquant"
-version = "0.44"
+version = "0.46"
 description = "A minimal yet hyper-efficient backtesting framework for quantitative trading"
 authors = [
     { name = "MissinA", email = "1421329142@qq.com" }

{hyperquant-0.44 → hyperquant-0.46}/src/hyperquant/broker/models/ourbit.py

@@ -697,69 +697,110 @@ class SpotBook(DataStore):
         # super().__init__()
         self._time: int | None = None
         self.limit = 1
+        self.loss = {}  # 改为字典，按symbol跟踪
+        self.versions = {}
+        self.cache = []
 
     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", None))
 
-        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
+        # 保存当前快照版本
+        self.versions[symbol] = 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
+        # self._find_and_delete({"s": symbol})
+
+        # 处理缓存
+        items = [item for item in self.cache if item.get("s") == symbol]
+        items.sort(key=lambda x: x.get("fv", 0))  # 按 fromVersion 排序
+        self.cache = [item for item in self.cache if item.get("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
+            self.versions[symbol] = max_version
+
+            # if max_version == 0:
+            #     print('vvv---')
+            #     print(items)
+
+            if not (min_version <= self.versions[symbol] <= max_version):
+                self.loss[symbol] = True
+                logger.warning(f"SpotBook: Snapshot version {self.version} out of range ({min_version}, {max_version}) for symbol={symbol} (丢补丁)")
+                return
+            
+            # 处理过往msg内容
+            self.loss[symbol] = False
+            for item in items:
+                fv, tv = item.get("fv", 0), item.get("tv", 0)
+                if self.versions[symbol] <= tv and self.versions[symbol] >= fv:
+                    if float(item["q"]) == 0.0:
+                        self._find_and_delete({"s": symbol, "S": item["S"], "p": item["p"]})
+                    else:
+                        self._insert([{ "s": symbol, "S": item["S"], "p": item["p"], "q": item["q"]}])
+            
+            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)
+
+        else:
+            self.loss[symbol] = 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）
+
+        # 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"))
+        if fv == 0  or tv == 0:
+            # print(f'发现fv或tv为0, msg:\n {msg}')
+            return
+        
         asks: list = data.get("asks", []) or []
         bids: list = data.get("bids", []) or []
 
+        now_version = self.versions.get(symbol, None)
+
+        # 以下几张情况都会被认为正常
+        check_con = (
+            now_version is None or
+            fv <= now_version <= tv or
+            now_version + 1 == fv
+        )
+
+        if not check_con:
+            logger.warning(f"(丢补丁)  version:{now_version} fv:{fv} tv:{tv} ")
+            self.loss[symbol] = True # 暂时不这样做
+ 
+
+
+        if self.loss.get(symbol, True):
+            for item in asks:
+                self.cache.append({"s": symbol, "S": "a", "p": item["p"], "q": item["q"], "fv": fv, "tv": tv})
+            for item in bids:
+                self.cache.append({"s": symbol, "S": "b", "p": item["p"], "q": item["q"], "fv": fv, "tv": tv})
+            return
+
+        self.versions[symbol] = tv
+
+
         to_delete, to_update = [], []
         for side, S in ((asks, "a"), (bids, "b")):
             for item in side:

{hyperquant-0.44 → hyperquant-0.46}/src/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 +411,36 @@ class OurbitSpot:
                 },
                 hdlr_json=self.store.onmessage
             )
+            await wsapp._event.wait()
+        
+        # await asyncio.sleep(1)  # 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)
+
+        async def check_loss():
+            await asyncio.sleep(1)
+            while True:
+                loss = self.store.book.loss
+                for symbol, is_loss in loss.items():
+                    if is_loss:
+                        resp = await self.client.fetch('GET', f"{self.api_url}/api/platform/spot/market/depth?symbol={symbol}")
+                        self.store.book._onresponse(resp.data)
+                await asyncio.sleep(1)
+
+        asyncio.create_task(check_loss())
+
 
     async def place_order(
         self,

{hyperquant-0.44 → hyperquant-0.46}/tmp.py

@@ -137,5 +137,24 @@ async def test_cancel_order():
         print(oid)
         # await ob_spot.cancel_orders([oid])
 
+
+async def test_orderbook():
+    async with pybotters.Client(apis={
+        "ourbit": [
+            "WEB3bf088f8b2f2fae07592fe1a6240e2d798100a9cb2a91f8fda1056b6865ab3ee"
+        ]
+    }) as client:
+        ob_spot = OurbitSpot(client)
+        await ob_spot.__aenter__()
+        await ob_spot.update('ticker')
+        # symbols = [d['symbol'] for d in ob_spot.store.ticker.find()][:30]
+        symbols = ['ETC_USDT']
+
+        await ob_spot.sub_orderbook(symbols)
+        while True:
+            await ob_spot.store.book.wait()
+            print(ob_spot.store.book.find())
+
+
 if __name__ == "__main__":
-    asyncio.run(test_cancel_order())
+    asyncio.run(test_orderbook())

{hyperquant-0.44 → hyperquant-0.46}/uv.lock

@@ -530,7 +530,7 @@ wheels = [
 
 [[package]]
 name = "hyperquant"
-version = "0.43"
+version = "0.45"
 source = { editable = "." }
 dependencies = [
     { name = "aiohttp" },