hyperquant 1.37__tar.gz → 1.39__tar.gz

{hyperquant-1.37 → hyperquant-1.39}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: hyperquant
-Version: 1.37
+Version: 1.39
 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-1.37 → hyperquant-1.39}/pyproject.toml

@@ -1,6 +1,6 @@
 [project]
 name = "hyperquant"
-version = "1.37"
+version = "1.39"
 description = "A minimal yet hyper-efficient backtesting framework for quantitative trading"
 authors = [
     { name = "MissinA", email = "1421329142@qq.com" }

{hyperquant-1.37 → hyperquant-1.39}/src/hyperquant/broker/models/polymarket.py

@@ -29,6 +29,7 @@ class Position(DataStore):
         outcome = trade.get("outcome")
         side = str(trade.get("side") or "").upper()
         size_raw = trade.get("size")
+        price_raw = trade.get("price")
 
         if not asset_id or not outcome or side not in {"BUY", "SELL"}:
             return
@@ -37,19 +38,37 @@ class Position(DataStore):
             size = float(size_raw)
         except (TypeError, ValueError):
             return
+        try:
+            price = float(price_raw)
+        except (TypeError, ValueError):
+            price = None
 
         key = {"asset": asset_id, "outcome": outcome}
         existing = self.get(key) or {}
 
         cur_size = float(existing.get("size") or 0.0)
         cur_total_bought = float(existing.get("totalBought") or 0.0)
+        cur_avg_price = float(existing.get("avgPrice") or 0.0)
+        cur_cost = cur_size * cur_avg_price
 
         if side == "BUY":
             new_size = cur_size + size
             total_bought = cur_total_bought + size
+            # 未拿到成交价时使用当前均价兜底，避免均价被拉低
+            effective_price = price if price is not None else cur_avg_price
+            new_cost = cur_cost + size * effective_price
         else:  # SELL
             new_size = cur_size - size
             total_bought = cur_total_bought
+            # 卖出按照当前均价释放成本
+            new_cost = cur_cost - min(size, cur_size) * cur_avg_price
+
+        if new_size <= 0:
+            new_size = 0.0
+            avg_price = 0.0
+            new_cost = 0.0
+        else:
+            avg_price = max(new_cost, 0.0) / new_size
 
         rec: dict[str, Any] = {
             "asset": asset_id,
@@ -57,6 +76,7 @@ class Position(DataStore):
             "side": side,
             "size": new_size,
             "totalBought": total_bought,
+            "avgPrice": avg_price,
         }
 
         if existing:
@@ -394,6 +414,36 @@ class _SideBook:
         except (TypeError, ValueError):
             return None
 
+class Price(DataStore):
+    _KEYS = ["s"]
+
+    def _on_message(self, msg: dict[str, Any]) -> None:
+        payload = msg.get('payload') or {}
+        data = payload.get('data') or {}
+        symbol = payload.get('symbol')
+
+        if not symbol:
+            return
+        
+        _next = self.get({'s': symbol}) or {}
+        _next_price = _next.get('p')
+        last_price = None
+        
+        if data and isinstance(data, list):
+            last_price = data[-1].get('value')
+        if 'value' in payload:
+            last_price = payload.get('value')
+        
+        if last_price is None:
+            return
+
+        record = {'s': symbol, 'p': last_price}
+        key = {'s': symbol}
+        if self.get(key):
+            self._update([record])
+        else:
+            self._insert([record])
+
 
 class BBO(DataStore):
     _KEYS = ["s", "S"]
@@ -612,6 +662,7 @@ class PolymarketDataStore(DataStoreCollection):
         self._create("mytrade", datastore_class=MyTrade)
         self._create("fill", datastore_class=Fill)
         self._create("trade", datastore_class=Trade)
+        self._create("price", datastore_class=Price)
 
     @property
     def book(self) -> Book:
@@ -762,6 +813,13 @@ class PolymarketDataStore(DataStoreCollection):
         """
 
         return self._get("trade")
+    
+    @property
+    def price(self) -> Price:
+        """Price DataStore
+        _key: s 
+        """
+        return self._get("price")
 
     @property
     def fill(self) -> Fill:
@@ -837,6 +895,12 @@ class PolymarketDataStore(DataStoreCollection):
         # 判定msg是否为list
         lst_msg = msg if isinstance(msg, list) else [msg]
         for m in lst_msg:
+            if m == '':
+                continue
+            topic = m.get("topic") or ""
+            if topic in {'crypto_prices_chainlink', 'crypto_prices'}:
+                self.price._on_message(m)
+                continue
             raw_type = m.get("event_type") or m.get("type")
             if not raw_type:
                 continue

{hyperquant-1.37 → hyperquant-1.39}/src/hyperquant/broker/polymarket.py

@@ -240,6 +240,89 @@ class Polymarket:
             orders = results["orders"]
             self.store.orders._on_response(orders)
 
+    async def sub_rts_prices(
+        self,
+        symbols: Sequence[str] | str | None = None,
+        *,
+        source: Literal["chainlink", "binance"] = "chainlink",
+        server_filter: bool = False,
+    ) -> pybotters.ws.WebSocketApp:
+        """Subscribe to Polymarket RTDS prices (Chainlink or Binance sources).
+
+        Parameters
+        ----------
+        symbols
+            Requested symbols (Chainlink prefers ``eth/usd`` format, Binance
+            uses ``ethusdt``).
+        source
+            Either ``"chainlink"`` (default) or ``"binance"``.
+        server_filter
+            When ``True`` the request payload includes the filter exactly as the
+            docs specify (e.g. ``{"symbol":"btc/usd"}``). In practice the
+            server sometimes stops streaming after returning the first snapshot
+            when filters are present, so the default behaviour is to subscribe
+            to the full feed and filter locally.
+        """
+
+        if isinstance(symbols, str):
+            requested = [symbols]
+        elif symbols:
+            requested = list(symbols)
+        else:
+            requested = []
+
+        target_symbols = {s.lower() for s in requested if s}
+
+        if source == "chainlink":
+            topic = "crypto_prices_chainlink"
+            sub_type = "*"
+            if server_filter and target_symbols:
+                if len(target_symbols) == 1:
+                    filters = json.dumps({"symbol": next(iter(target_symbols))})
+                else:
+                    filters = json.dumps({"symbols": sorted(target_symbols)})
+            else:
+                filters = None
+        else:
+            topic = "crypto_prices"
+            sub_type = "update"
+            filters = None
+            if server_filter and target_symbols:
+                filters = ",".join(sorted(target_symbols))
+
+        subscription: dict[str, Any] = {"topic": topic, "type": sub_type}
+        if filters:
+            subscription["filters"] = filters
+
+        payload = {
+            "action": "subscribe",
+            "subscriptions": [subscription],
+        }
+
+        def callback(msg, ws):
+            if not msg:
+                return
+            try:
+                data = json.loads(msg)
+            except json.JSONDecodeError:
+                return
+
+            payload = data.get("payload") or {}
+            symbol = str(payload.get("symbol") or "").lower()
+            if (not server_filter) and target_symbols and symbol and symbol not in target_symbols:
+                return
+
+            self.store.onmessage(data, ws)
+
+        wsapp = self.client.ws_connect(
+            RTS_DATA_ENDPOINT,
+            hdlr_str=callback,
+            heartbeat=5,
+        )
+
+        await wsapp._event.wait()
+        await wsapp.current_ws.send_json(payload)
+        return wsapp
 
 
     async def sub_books(
@@ -917,6 +1000,7 @@ class Polymarket:
         if isinstance(fee_resp, dict):
             return int(fee_resp.get("base_fee", 0))
         return int(fee_resp or 0)
+        
 
     async def _signed_request_via_session(
         self, method: str, path: str, body: Mapping[str, Any] | list[Any] | None

{hyperquant-1.37 → hyperquant-1.39}/uv.lock

@@ -945,7 +945,7 @@ wheels = [
 
 [[package]]
 name = "hyperquant"
-version = "1.36"
+version = "1.38"
 source = { editable = "." }
 dependencies = [
     { name = "aiohttp" },