hyperquant 1.48__py3-none-any.whl

hyperquant/broker/models/apexpro.py

@@ -0,0 +1,150 @@
+from __future__ import annotations
+
+import asyncio
+from dataclasses import dataclass, field
+from heapq import heappop, heappush
+from typing import Any
+
+import pybotters
+from pybotters.store import DataStore
+from pybotters.ws import ClientWebSocketResponse
+
+
+@dataclass
+class _SideBook:
+    is_ask: bool
+    levels: dict[float, tuple[str, str]] = field(default_factory=dict)
+    heap: list[tuple[float, float]] = field(default_factory=list)
+
+    def clear(self) -> None:
+        self.levels.clear()
+        self.heap.clear()
+
+    def update_levels(self, updates: list[list[Any]] | None, snapshot: bool) -> None:
+        if updates is None:
+            return
+
+        if snapshot:
+            self.clear()
+
+        for entry in updates:
+            if not isinstance(entry, (list, tuple)) or len(entry) < 2:
+                continue
+            price, size = entry[0], entry[1]
+            price_val = self._float(price)
+            size_val = self._float(size)
+            if price_val is None or size_val is None:
+                continue
+
+            if size_val <= 0:
+                self.levels.pop(price_val, None)
+                continue
+
+            self.levels[price_val] = (str(price), str(size))
+            priority = price_val if self.is_ask else -price_val
+            heappush(self.heap, (priority, price_val))
+
+    def best(self) -> tuple[str, str] | None:
+        while self.heap:
+            _, price = self.heap[0]
+            level = self.levels.get(price)
+            if level is not None:
+                return level
+            heappop(self.heap)
+        return None
+
+    @staticmethod
+    def _float(value: Any) -> float | None:
+        try:
+            return float(value)
+        except (TypeError, ValueError):
+            return None
+
+
+class Book(DataStore):
+    """只维护卖一/买一价的轻量级（book1）深度数据。"""
+
+    _KEYS = ["s", "S"]
+
+    def _init(self) -> None:
+        self._book: dict[str, dict[str, _SideBook]] = {}
+
+    def _side(self, symbol: str, side: str) -> _SideBook:
+        symbol_book = self._book.setdefault(symbol, {})
+        side_book = symbol_book.get(side)
+        if side_book is None:
+            side_book = _SideBook(is_ask=(side == "a"))
+            symbol_book[side] = side_book
+        return side_book
+
+    def _sync_side(self, symbol: str, side: str, best: tuple[str, str] | None) -> None:
+        key = {"s": symbol, "S": side}
+        current = self.get(key)
+
+        if best is None:
+            if current:
+                self._delete([key])
+            return
+
+        price, size = best
+        if current and current.get("p") == price and current.get("q") == size:
+            return
+
+        payload = {"s": symbol, "S": side, "p": price, "q": size}
+        if current:
+            self._update([payload])
+        else:
+            self._insert([payload])
+
+    def _on_message(self, msg: dict[str, Any]) -> None:
+        b_type = msg.get("type")
+        if b_type not in {"snapshot", "delta"}:
+            return
+
+        data = msg.get("data") or {}
+        if not data:
+            return
+
+        symbol = data.get("s")
+        if not symbol:
+            return
+
+        asks = self._side(symbol, "a")
+        bids = self._side(symbol, "b")
+
+        is_snapshot = b_type == "snapshot"
+        asks.update_levels(data.get("a"), snapshot=is_snapshot)
+        bids.update_levels(data.get("b"), snapshot=is_snapshot)
+
+        best_ask = asks.best()
+        best_bid = bids.best()
+
+        self._sync_side(symbol, "a", best_ask)
+        self._sync_side(symbol, "b", best_bid)
+
+
+store = Book()
+
+def callback(msg, ws: ClientWebSocketResponse = None):
+    topic = msg.get('topic')
+    if not topic:
+        return
+    if 'orderBook' in topic:
+        store._on_message(msg)
+        
+
+async def main():
+    async with pybotters.Client() as client:
+        # webData2
+        client.ws_connect(
+            "wss://quote.omni.apex.exchange/realtime_public",
+            send_json={"op":"subscribe","args":["orderBook25.H.BTCUSDT"]},
+            hdlr_json=callback
+        )
+
+        while True:
+            await asyncio.sleep(1)
+            print(store.find())
+
+if __name__ == "__main__":
+    asyncio.run(main())

hyperquant/broker/models/bitget.py

@@ -0,0 +1,359 @@
+from __future__ import annotations
+
+import asyncio
+from typing import TYPE_CHECKING, Any, Awaitable
+from aiohttp import ClientResponse
+from pybotters import DataStore
+from pybotters.models.bitget_v2 import BitgetV2DataStore
+from ..lib.util import place_to_step
+
+if TYPE_CHECKING:
+    from pybotters.typedefs import Item
+
+class Detail(DataStore):
+    """Futures instrument metadata store obtained from the futures instrument endpoint."""
+
+    _KEYS = ["symbol"]
+
+    def _transform(self, entry: dict[str, Any]) -> dict[str, Any] | None:
+        step_place = entry.get("volume_place", 1)
+        tick_place = entry.get("price_place", 1)
+
+        step_size = place_to_step(step_place)
+        tick_size = place_to_step(tick_place)
+
+        entry["stepSize"] = step_size
+        entry["tickSize"] = tick_size
+        # expose snake_case aliases for downstream callers keeping legacy naming
+        entry["step_size"] = step_size
+        entry["tick_size"] = tick_size
+
+        return entry
+
+    def _onresponse(self, data: list[dict[str, Any]] | dict[str, Any] | None) -> None:
+        if not data:
+            self._clear()
+            return
+        entries = data
+        if isinstance(data, dict):  # pragma: no cover - defensive guard
+            entries = data.get("data") or []
+        items: list[dict[str, Any]] = []
+        for entry in entries or []:
+            transformed = self._transform(entry)
+            if transformed:
+                items.append(transformed)
+        if not items:
+            self._clear()
+            return
+        self._clear()
+        self._insert(items)
+
+
+class Book(DataStore):
+    _KEYS = ["t", "s", "S", "p"]
+
+    def _onmessage(self, msg: Item) -> None:
+        action = msg["action"]
+        inst_type = msg["arg"]["instType"]
+        inst_id = msg["arg"]["instId"]
+
+        data_to_insert = []
+        data_to_update = []
+        data_to_delete = []
+        for book in msg["data"]:
+            for side in ("asks", "bids"):
+                for row in book[side]:
+                    converted_row = {
+                        "t": inst_type,
+                        "s": inst_id,
+                        "S": side[0],
+                        "p": row[0],
+                        "q": row[1],
+                    }
+                    if action == "snapshot":
+                        data_to_insert.append(converted_row)
+                    elif converted_row["q"] != "0":
+                        data_to_update.append(converted_row)
+                    else:
+                        data_to_delete.append(converted_row)
+
+        # Cleanup on reconnect
+        if action == "snapshot":
+            self._find_and_delete({"t": inst_type, "s": inst_id})
+
+        self._insert(data_to_insert)
+        self._update(data_to_update)
+        self._delete(data_to_delete)
+    
+    def sorted(
+        self, query: Item | None = None, limit: int | None = None
+    ) -> dict[str, list[Item]]:
+        return self._sorted(
+            item_key="side",
+            item_asc_key="a",
+            item_desc_key="b",
+            sort_key="p",
+            query=query,
+            limit=limit,
+        )
+
+
+class BitgetDataStore(BitgetV2DataStore):
+
+    def _init(self):
+        super()._init()
+        self._create('detail', datastore_class=Detail)
+        self._create("book", datastore_class=Book)
+        
+    async def initialize(self, *aws: Awaitable[ClientResponse]) -> None:
+        for fut in asyncio.as_completed(aws):
+            res = await fut
+            data = await res.json()
+            if res.url.path == '/api/v2/mix/market/contracts':
+                self.detail._onresponse(data)
+            elif res.url.path == '/api/v2/mix/market/tickers':
+                self.ticker._clear()
+                tickers = data.get('data', [])
+                # 为每个ticker添加额外的字段
+                for ticker in tickers:
+                    symbol = ticker.get('symbol')
+                    ticker['instId'] = symbol
+                    ticker['instType'] = 'futures'
+
+                self.ticker._update(tickers)
+    
+    @property
+    def detail(self) -> Detail:
+        """
+        _key: symbol
+
+        Data Structure:
+
+        .. code:: json
+
+            [
+                {
+                "symbol": "BTCUSDT",
+                "baseCoin": "BTC",
+                "quoteCoin": "USDT",
+                "buyLimitPriceRatio": "0.9",
+                "sellLimitPriceRatio": "0.9",
+                "feeRateUpRatio": "0.1",
+                "makerFeeRate": "0.0004",
+                "takerFeeRate": "0.0006",
+                "openCostUpRatio": "0.1",
+                "supportMarginCoins": [
+                    "USDT"
+                ],
+                "minTradeNum": "0.01",
+                "priceEndStep": "1",
+                "volumePlace": "2",
+                "stepSize": "0.01",
+                "tickSize": "0.1",
+                "pricePlace": "1",
+                "sizeMultiplier": "0.01",
+                "symbolType": "perpetual",
+                "minTradeUSDT": "5",
+                "maxSymbolOrderNum": "999999",
+                "maxProductOrderNum": "999999",
+                "maxPositionNum": "150",
+                "symbolStatus": "normal",
+                "offTime": "-1",
+                "limitOpenTime": "-1",
+                "deliveryTime": "",
+                "deliveryStartTime": "",
+                "launchTime": "",
+                "fundInterval": "8",
+                "minLever": "1",
+                "maxLever": "125",
+                "posLimit": "0.05",
+                "maintainTime": "1680165535278",
+                "maxMarketOrderQty": "220",
+                "maxOrderQty": "1200"
+            }]
+        
+        """
+        return self._get('detail')
+    
+    @property
+    def ticker(self) -> DataStore:
+        """
+        _KEYS = ["instType", "instId"]
+
+        Data Structure:
+
+        .. code:: json
+
+            [
+                {
+                    "symbol": "BTCUSDT",
+                    "lastPr": "111534.6",
+                    "askPr": "111534.6",
+                    "bidPr": "111534.5",
+                    "bidSz": "23.7924",
+                    "askSz": "8.1762",
+                    "high24h": "112300",
+                    "low24h": "109136.2",
+                    "ts": "1759115725508",
+                    "change24h": "0.01906",
+                    "baseVolume": "35520.11438048",
+                    "quoteVolume": "3932280581.066103549",
+                    "usdtVolume": "3932280581.066103549",
+                    "openUtc": "112100",
+                    "changeUtc24h": "-0.00504",
+                    "indexPrice": "111587.6090439271505504",
+                    "fundingRate": "-0.000002",
+                    "holdingAmount": "66775.1917",
+                    "deliveryStartTime": null,
+                    "deliveryTime": null,
+                    "deliveryStatus": "",
+                    "open24h": "109448.3",
+                    "markPrice": "111537",
+                    "instId": "BTCUSDT",
+                    "instType": "futures"
+                }
+            ]
+        """
+        return self._get('ticker')
+    
+    @property
+    def orders(self) -> DataStore:
+        """
+        _KEYS = ["instType", "instId", "orderId"]
+        .. code:: json
+
+            [
+                {
+                "instType": "futures",
+                "instId": "BTCUSDT",
+                "orderId": "1",
+                "clientOid": "1",
+                "size": "8.0000",
+                "newSize": "500.0000",
+                "notional": "8.000000",
+                "orderType": "market",
+                "force": "gtc",
+                "side": "buy",
+                "fillPrice": "26256.0",
+                "tradeId": "1",
+                "baseVolume": "0.0003",
+                "fillTime": "1695797773286",
+                "fillFee": "-0.00000018",
+                "fillFeeCoin": "BTC",
+                "tradeScope": "T",
+                "accBaseVolume": "0.0003",
+                "priceAvg": "26256.0",
+                "status": "partially_filled",
+                "cTime": "1695797773257",
+                "uTime": "1695797773326",
+                "stpMode": "cancel_taker",
+                "feeDetail": [
+                    {
+                    "feeCoin": "BTC",
+                    "fee": "-0.00000018"
+                    }
+                ],
+                "enterPointSource": "WEB"
+                }
+            ]
+        """
+        return self._get('orders')
+    
+    @property
+    def book(self) -> DataStore:
+        """
+        _KEYS = ["t", "s", "S", "p"]
+
+        Data Structure:
+
+        .. code:: json
+
+            [
+                {
+                    "t": "futures",
+                    "s": "BTCUSDT",
+                    "S": "a",
+                    "p": "111534.6",
+                    "q": "8.1762"
+                },
+                {
+                    "t": "futures",
+                    "s": "BTCUSDT",
+                    "S": "b",
+                    "p": "111534.5",
+                    "q": "23.7924"
+                }
+            ]
+        """
+        return self._get("book")
+    
+    @property
+    def account(self) -> DataStore:
+        """
+        _KEYS = ["instType", "marginCoin"]
+
+        Data Structure:
+
+        .. code:: json
+
+           [
+                {
+                    "marginCoin": "USDT",
+                    "frozen": "0.00000000",
+                    "available": "13.98545761",
+                    "maxOpenPosAvailable": "13.98545761",
+                    "maxTransferOut": "13.98545761",
+                    "equity": "13.98545761",
+                    "usdtEquity": "13.985457617660",
+                    "crossedRiskRate": "0",
+                    "unrealizedPL": "0.000000000000",
+                    "unionTotalMargin": "100",
+                    "unionAvailable": "20",
+                    "unionMm": "15",
+                    "assetMode": "union"
+                }
+            ]
+        """
+        return self._get("account")
+
+    @property
+    def position(self) -> DataStore:
+        """
+        _KEYS = ["instType", "instId", "posId"]
+
+        Data Structure:
+
+        .. code:: json
+
+           [
+                {
+                    "posId": "1",
+                    "instId": "ETHUSDT",
+                    "marginCoin": "USDT",
+                    "marginSize": "9.5",
+                    "marginMode": "crossed",
+                    "holdSide": "short",
+                    "posMode": "hedge_mode",
+                    "total": "0.1",
+                    "available": "0.1",
+                    "frozen": "0",
+                    "openPriceAvg": "1900",
+                    "leverage": 20,
+                    "achievedProfits": "0",
+                    "unrealizedPL": "0",
+                    "unrealizedPLR": "0",
+                    "liquidationPrice": "5788.108475905242",
+                    "keepMarginRate": "0.005",
+                    "marginRate": "0.004416374196",
+                    "cTime": "1695649246169",
+                    "breakEvenPrice": "24778.97",
+                    "totalFee": "1.45",
+                    "deductedFee": "0.388",
+                    "markPrice": "2500",
+                    "assetMode": "union",
+                    "uTime": "1695711602568",
+                    "autoMargin": "off"
+                }
+            ]
+        """
+        return self._get("position")