hyperquant 0.4__py3-none-any.whl → 0.6__py3-none-any.whl

hyperquant/broker/models/ourbit.py

@@ -22,19 +22,20 @@ class Book(DataStore):
     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: ["s", "S", "p"]
+    - s: 交易对符号
+    - S: 买卖方向 (A: ask卖出, B: bid买入)
+    - p: 价格
 
 
     """
 
-    _KEYS = ["symbol", "side",  "i"]
+    _KEYS = ["s", "S", "p"]
 
     def _init(self) -> None:
         # super().__init__()
         self._time: int | None = None
+        self.limit = 1
 
     def _on_message(self, msg: dict[str, Any]) -> None:
 
@@ -43,29 +44,29 @@ class Book(DataStore):
         asks = data.get("asks", [])
         bids = data.get("bids", [])
         # 提速 默认 5当前
-        asks = asks[:5]
-        bids = bids[:5]
+        asks = asks[:self.limit]
+        bids = bids[:self.limit]
 
         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})
+        self._find_and_delete({"s": symbol})
 
         # 处理买卖盘数据
-        for side_id, levels in (("B", bids), ("A", asks)):
+        for side_id, levels in (("b", bids), ("a", asks)):
             for i, level in enumerate(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,
+                            "s": symbol,
+                            "S": side_id,
+                            "p": str(price),
+                            "q": str(size),
+                            "ct": count,
                             "i": i
                         }
                     )
@@ -79,31 +80,17 @@ class Book(DataStore):
         """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
+    def sorted(        
+        self, query: Item | None = None, limit: int | None = None
+    ) -> dict[str, list[Item]]:
 
-            {
-                "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",
+            item_key="S",
+            item_asc_key="a",  # asks 升序
+            item_desc_key="b",  # bids 降序
+            sort_key="p",
+            query=query,
+            limit=limit,
         )
 
 
@@ -146,15 +133,19 @@ class Orders(DataStore):
     def _fmt(self, order:dict):
         return {
             "order_id": order.get("orderId"),
+            "position_id": order.get("positionId"),
             "symbol": order.get("symbol"),
-            "px": order.get("price"),
+            "price": order.get("price"),
             "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("dealAvgPrice"),
+            "deal_quantity": order.get("dealVol"),
+            "avg_price": order.get("dealAvgPrice"),
             "create_ts": order.get("createTime"),
             "update_ts": order.get("updateTime"),
+            "fee": order.get("makerFee"),
+            "profit": order.get("profit"),
+            "used_margin": order.get("usedMargin"),
             "state": "open"
         }
 
@@ -192,6 +183,13 @@ class Orders(DataStore):
                 self._find_and_delete({
                     "order_id": order.get("order_id")
                 })
+            else:
+                order = self._fmt(data)
+                order["state"] = f"unknown_{state}"
+                self._update([order])
+                self._find_and_delete({
+                    "order_id": order.get("order_id")
+                })
 
 class Detail(DataStore):
     _KEYS = ["symbol"]
@@ -214,7 +212,8 @@ class Detail(DataStore):
                         "io": detail.get("io"),
                         "contract_sz": detail.get("cs"),
                         "minv": detail.get("minV"),
-                        "maxv": detail.get("maxV")
+                        "maxv": detail.get("maxV"),
+                        "online_time": detail.get("tcd")
                     }
                 )
         self._update(data_to_insert)
@@ -225,27 +224,27 @@ class Position(DataStore):
     
     def _fmt(self, position:dict):
         return {
-                        "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"),
-            }
+            "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"),
+        }
     
     def _onresponse(self, data: dict[str, Any]):
         positions = data.get("data", [])
@@ -405,8 +404,8 @@ class OurbitSwapDataStore(DataStoreCollection):
                 "io": ["binance", "mexc"],  # 交易所列表
                 "contract_sz": 1,
                 "minv": 1,
-                "maxv": 10000
-
+                "maxv": 10000,
+                "online_time": 1625247600000  # 上线时间
             }
         ]
         """
@@ -415,32 +414,37 @@ class OurbitSwapDataStore(DataStoreCollection):
     @property
     def book(self) -> Book:
         """订单簿深度数据流
-
+        
+        提供实时订单簿深度数据，包含买卖双方价格和数量信息
+        
         Data type: Mutable
-
-        Keys: ("symbol", "side", "px")
+        
+        Keys: ("s", "S", "p")
+        - s: 交易对符号，如 "BTC_USDT"
+        - S: 买卖方向，"a" 表示卖单(ask)，"b" 表示买单(bid)
+        - p: 价格
 
         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
-                    "i" 0                  # 价格档位索引
-                },
-                {
-                    "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
-                    "i" 0                  # 价格档位索引
-                }
+            {
+                "s": "BTC_USDT",      # 交易对符号
+                "S": "a",             # 卖单方向(ask)
+                "p": "110152.5",      # 价格
+                "q": "53539",         # 数量
+                "ct": 1,              # 该价格的订单数量
+                "i": 0                # 价格档位索引(从0开始)
+            },
+            {
+                "s": "BTC_USDT",      # 交易对符号
+                "S": "b",             # 买单方向(bid)
+                "p": "110152.4",      # 价格
+                "q": "76311",         # 数量
+                "ct": 1,              # 该价格的订单数量
+                "i": 0                # 价格档位索引(从0开始)
+            }
             ]
         """
         return self._get("book", Book)
@@ -592,7 +596,11 @@ class SpotBalance(DataStore):
     def _on_message(self, msg: dict[str, Any]) -> None:
         data = msg.get("d", {})
         item = self._fmt_ws(data)
-        self._update([item])
+        av = float(item.get("available", 0))
+        if av == 0:
+            self._find_and_delete({'currency': item.get("currency")})
+        else:
+            self._update([item])
 
 
 # SpotOrders: 现货订单数据存储
@@ -601,17 +609,22 @@ class SpotOrders(DataStore):
 
 
     def _fmt(self, order: dict) -> dict:
-        state = order.get("state")
-        if state == 1 or state == 2:
-            state = "open"
-        elif state == 3:
-            state = "filled"
-        elif state == 4:
-            state = "canceled"
+        # 状态映射：1=open, 2=filled(整单成交), 3=partially_filled, 4=canceled
+        state_num = order.get("state") or order.get("status")
+        if state_num == 1:
+            state_txt = "open"
+        elif state_num == 2:
+            state_txt = "filled"              # ✔ 2 才是整单成交
+        elif state_num == 3:
+            state_txt = "partially_filled"
+        elif state_num == 4:
+            state_txt = "canceled"
+        else:
+            state_txt = "unknown"
 
         return {
-            "order_id": order.get("id"),
-            "symbol": order.get("symbol"),
+            "order_id": order.get("id") or order.get("orderId"),
+            "symbol": order.get("symbol") or order.get("s"),
             "currency": order.get("currency"),
             "market": order.get("market"),
             "trade_type": order.get("tradeType"),
@@ -622,15 +635,14 @@ class SpotOrders(DataStore):
             "deal_quantity": order.get("dealQuantity"),
             "deal_amount": order.get("dealAmount"),
             "avg_price": order.get("avgPrice"),
-            "state": order.get("state"),
-            "source": order.get("source"),
+            "state": state_txt,
+            "source": order.get("source") or order.get("internal"),
             "fee": order.get("fee"),
             "create_ts": order.get("createTime"),
             "unique_id": order.get("uniqueId"),
         }
     
 
-
     def _onresponse(self, data: dict[str, Any]):
         orders = (data.get("data") or {}).get("resultList", [])
         items = [self._fmt(order) for order in orders]
@@ -639,9 +651,9 @@ class SpotOrders(DataStore):
             self._insert(items)
 
     def _on_message(self, msg: dict[str, Any]) -> None:
-        d:dict = msg.get("d", {})
+        d: dict = msg.get("d", {})
 
-        
+        # 基础字段
         item = {
             "order_id": d.get("id"),
             "symbol": msg.get("s") or d.get("symbol"),
@@ -652,7 +664,6 @@ class SpotOrders(DataStore):
             "amount": d.get("amount"),
             "remain_quantity": d.get("remainQ"),
             "remain_amount": d.get("remainA"),
-            "state": d.get("status"),
             "client_order_id": d.get("clientOrderId"),
             "is_taker": d.get("isTaker"),
             "create_ts": d.get("createTime"),
@@ -661,28 +672,78 @@ class SpotOrders(DataStore):
 
         state = d.get("status")
 
-        if state == 2 or state == 1:
-            item["state"] = "open"
-            self._insert([item])
-        
-        elif state == 3:
-            item["state"] = "filled"
-
-            # 如果这三个字段存在追加
-            if d.get("singleDealId") and d.get("singleDealPrice") and d.get("singleDealQuantity"):
-                item.update({
-                    "unique_id": d.get("singleDealId"),
-                    "avg_price": d.get("singleDealPrice"),
-                    "deal_quantity": d.get("singleDealQuantity"),
-                })
 
-                self._update([item])
-                self._find_and_delete({  "order_id": d.get("id")  })
-        
-        elif state == 4:
-            item["state"] = "canceled"
+
+        # 成交片段（部分/完全）
+        if d.get("singleDealPrice"):
+            # 单片段信息（可能多次推送；需做增量累计 + 去重）
+            single_id = d.get("singleDealId")
+            single_px = d.get("singleDealPrice")
+            single_qty = d.get("singleDealQuantity")
+            try:
+                px_i = float(single_px) if single_px is not None else 0.0
+                qty_i = float(single_qty) if single_qty is not None else 0.0
+            except Exception:
+                px_i, qty_i = 0.0, 0.0
+
+            old = self.get({"order_id": d.get("id")})
+            old_qty = float(old.get("deal_quantity") or 0.0) if old else 0.0
+            old_avg = float(old.get("avg_price") or 0.0) if old else 0.0
+            old_last_single = old.get("last_single_id") if old else None
+
+            # 去重：若与上一片段 ID 相同，认为是重复推送，直接按状态更新不累计
+            if old and single_id and old_last_single == single_id:
+                new_qty = old_qty
+                new_avg = old_avg
+            else:
+                # VWAP 累计
+                new_qty = old_qty + qty_i
+                if new_qty > 0:
+                    new_avg = (old_avg * old_qty + px_i * qty_i) / new_qty
+                else:
+                    new_avg = px_i
+
+            # 写回
+            item.update({
+                "avg_price": str(new_avg) if new_qty > 0 else old.get("avg_price") if old else None,
+                "deal_quantity": str(new_qty) if new_qty > 0 else old.get("deal_quantity") if old else None,
+                "single_id": single_id,
+                "last_single_id": single_id,
+            })
+
+            # 状态文本：2=filled(整单), 3=partially_filled
+            # item["state"] = "filled" if state == 2 else "partially_filled"
+            if state == 2:
+                item["state"] = "filled"
+            elif state == 3:
+                item["state"] = "partially_filled"
+            else:
+                item["state"] = "unknown_"+str(state)
+
             self._update([item])
-            self._find_and_delete({  "order_id": d.get("id")  })
+
+            # 整单成交 或者 部分取消 → 删除
+            if state == 2 or 'unknown' in item["state"]:
+                self._find_and_delete({"order_id": d.get("id")})
+            return
+        else:
+            # 新建 / 已挂出
+            if state == 1:
+                item["state"] = "open"
+                self._insert([item])
+                return
+           
+            elif state == 4:
+                item["state"] = "canceled"
+                self._update([item])
+                self._find_and_delete({"order_id": d.get("id")})
+                return
+            else:
+
+                # 未知状态：更新后删除，避免脏数据残留
+                item["state"] = "unknown_"+str(state)
+                self._update([item])
+                self._find_and_delete({"order_id": d.get("id")})
 
 
 
@@ -693,69 +754,110 @@ 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})
+
+        # 应为我们先连接的ws, 所以可能有缓存需要去处理
+        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:
@@ -929,8 +1031,7 @@ class OurbitSpotDataStore(DataStoreCollection):
         """
         现货账户余额数据流
 
-        Data structure:
-
+        _KEYS = ["currency"]
         .. code:: python
 
             [
@@ -1015,7 +1116,7 @@ class OurbitSpotDataStore(DataStoreCollection):
         return self._get("order", SpotOrders)
     
     def onmessage(self, msg: Item, ws: ClientWebSocketResponse | None = None) -> None:
-
+        # print(msg, '\n')
         channel = msg.get("c")
         if 'msg' in msg:
             if 'invalid' in msg['msg']: