hyperquant 0.45__tar.gz → 0.46__tar.gz

{hyperquant-0.45 → hyperquant-0.46}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: hyperquant
-Version: 0.45
+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-0.45 → hyperquant-0.46}/pyproject.toml

@@ -1,6 +1,6 @@
 [project]
 name = "hyperquant"
-version = "0.45"
+version = "0.46"
 description = "A minimal yet hyper-efficient backtesting framework for quantitative trading"
 authors = [
     { name = "MissinA", email = "1421329142@qq.com" }

{hyperquant-0.45 → hyperquant-0.46}/src/hyperquant/broker/models/ourbit.py

@@ -697,8 +697,9 @@ class SpotBook(DataStore):
         # super().__init__()
         self._time: int | None = None
         self.limit = 1
-        self.loss = True
-        self.version = None
+        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")
@@ -706,18 +707,22 @@ class SpotBook(DataStore):
         book_data = data.get("data")
         asks = book_data.get("asks", [])
         bids = book_data.get("bids", [])
-        version = int(data.get("version", 0))
+        version = int(data.get("version", None))
+
 
         # 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})
+        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]
 
-        # 清空旧数据，插入快照
-        self._find_and_delete({"s": symbol})
-        
         for side, S in ((asks, "a"), (bids, "b")):
             for item in side:
                 self._insert([{"s": symbol, "S": S, "p": item["p"], "q": item["q"]}])
@@ -725,57 +730,77 @@ class SpotBook(DataStore):
         if items:
             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.version = max_version
+            self.versions[symbol] = max_version
 
-            if not (min_version <= self.version <= max_version):
-                self.loss = True
+            # 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
-
-            self.loss = False
+            
+            # 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.version <= tv and self.version >= fv:
-                    self._insert([{ "s": symbol, "S": item["S"], "p": item["p"], "q": item["q"]}])
+                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 = False
+            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 = (
-            self.version is None or
-            fv <= self.version <= tv or
-            self.version + 1 == fv
+            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:{self.version} fv:{fv} tv:{tv} msg:\n {msg}")
-            # self.loss = True # 暂时不这样做
-            return
-        
-        self.version = tv
+            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:
+        if self.loss.get(symbol, True):
             for item in asks:
-                self._insert(
-                    [{"s": symbol, "S": "a", "p": item["p"], "q": item["q"], "fv": fv, "tv": tv}]
-                )
+                self.cache.append({"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}]
-                )
+                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:
@@ -793,7 +818,7 @@ 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-0.45 → hyperquant-0.46}/src/hyperquant/broker/ourbit.py

@@ -413,7 +413,7 @@ class OurbitSpot:
             )
             await wsapp._event.wait()
         
-        # await asyncio.sleep(2)  # 等待ws连接稳定
+        # 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 = [
@@ -428,14 +428,18 @@ class OurbitSpot:
         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 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(

{hyperquant-0.45 → hyperquant-0.46}/tmp.py

@@ -146,7 +146,11 @@ async def test_orderbook():
     }) as client:
         ob_spot = OurbitSpot(client)
         await ob_spot.__aenter__()
-        await ob_spot.sub_orderbook(['XRP_USDT'])
+        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())

{hyperquant-0.45 → hyperquant-0.46}/uv.lock

@@ -530,7 +530,7 @@ wheels = [
 
 [[package]]
 name = "hyperquant"
-version = "0.44"
+version = "0.45"
 source = { editable = "." }
 dependencies = [
     { name = "aiohttp" },