walrasquant-lib 0.4.20__py3-none-any.whl

walrasquant/exchange/okx/schema.py

@@ -0,0 +1,1449 @@
+import msgspec
+from typing import Dict, List
+from walrasquant.schema import BaseMarket
+from decimal import Decimal
+from msgspec import Struct
+
+from walrasquant.schema import Balance, BookOrderData
+from walrasquant.exchange.okx.constants import (
+    OkxInstrumentType,
+    OkxInstrumentFamily,
+    OkxOrderType,
+    OkxOrderSide,
+    OkxPositionSide,
+    OkxTdMode,
+    OkxOrderStatus,
+    OkxSavingsPurchaseRedemptSide,
+    OkxAcctLv,
+    OkxPositionMode,
+    OkxTriggerType,
+    OkxWsApiOp,
+)
+
+
+class OkxWsArgMsg(msgspec.Struct):
+    channel: str | None = None
+    instType: OkxInstrumentType | None = None
+    instFamily: OkxInstrumentFamily | None = None
+    instId: str | None = None
+    uid: str | None = None
+
+
+class OkxWsGeneralMsg(msgspec.Struct):
+    event: str | None = None
+    msg: str | None = None
+    code: str | None = None
+    connId: str | None = None
+    channel: str | None = None
+    arg: OkxWsArgMsg | None = None
+
+    @property
+    def is_event_msg(self) -> bool:
+        return self.event is not None
+
+    @property
+    def error_msg(self):
+        return f"{self.msg} code={self.code} connId={self.connId}"
+
+    @property
+    def login_msg(self):
+        return f"login success connId={self.connId}"
+
+    @property
+    def subscribe_msg(self):
+        return f"subscribed to {self.arg.channel if self.arg else None} connId={self.connId}"
+
+
+class OkxWsBboTbtData(msgspec.Struct):
+    ts: str
+    seqId: int
+    asks: list[list[str]]
+    bids: list[list[str]]
+
+
+class OkxWsBboTbtMsg(msgspec.Struct):
+    """
+    {
+        "arg": {
+            "channel": "bbo-tbt",
+            "instId": "BCH-USDT-SWAP"
+        },
+        "data": [
+            {
+            "asks": [
+                [
+                "111.06","55154","0","2"
+                ]
+            ],
+            "bids": [
+                [
+                "111.05","57745","0","2"
+                ]
+            ],
+            "ts": "1670324386802",
+            "seqId": 363996337
+            }
+        ]
+    }
+    """
+
+    arg: OkxWsArgMsg
+    data: list[OkxWsBboTbtData]
+
+
+class OkxWsBook5BookDelta(msgspec.Struct, array_like=True):
+    price: str
+    size: str
+    feature: str
+    order_number: str
+
+    def parse_to_book_order_data(self) -> BookOrderData:
+        return BookOrderData(
+            price=float(self.price),
+            size=float(self.size),
+        )
+
+
+class OkxWsBook5Data(msgspec.Struct):
+    asks: list[OkxWsBook5BookDelta]
+    bids: list[OkxWsBook5BookDelta]
+    ts: str
+    seqId: int
+    instId: str
+
+
+class OkxWsBook5Msg(msgspec.Struct):
+    arg: OkxWsArgMsg
+    data: list[OkxWsBook5Data]
+
+
+class OkxWsCandleMsg(msgspec.Struct):
+    arg: OkxWsArgMsg
+    data: list[list[str]]
+
+
+class OkxWsIndexTickerData(msgspec.Struct):
+    """
+    "instId": "BTC-USDT",
+    "idxPx": "0.1",
+    "high24h": "0.5",
+    "low24h": "0.1",
+    "open24h": "0.1",
+    "sodUtc0": "0.1",
+    "sodUtc8": "0.1",
+    "ts": "1597026383085"
+    """
+
+    instId: str
+    idxPx: str
+    high24h: str
+    low24h: str
+    open24h: str
+    sodUtc0: str
+    sodUtc8: str
+    ts: str
+
+
+class OkxWsIndexTickerMsg(msgspec.Struct):
+    arg: OkxWsArgMsg
+    data: list[OkxWsIndexTickerData]
+
+
+class OkxWsMarkPriceData(msgspec.Struct):
+    instType: OkxInstrumentType
+    instId: str
+    markPx: str
+    ts: str
+
+
+class OkxWsMarkPriceMsg(msgspec.Struct):
+    arg: OkxWsArgMsg
+    data: list[OkxWsMarkPriceData]
+
+
+class OkxWsTradeData(msgspec.Struct):
+    instId: str
+    tradeId: str
+    px: str
+    sz: str
+    side: OkxOrderSide
+    ts: str
+    count: str
+
+
+class OkxWsTradeMsg(msgspec.Struct):
+    arg: OkxWsArgMsg
+    data: list[OkxWsTradeData]
+
+
+class OkxWsFundingRateData(msgspec.Struct, kw_only=True):
+    formulaType: str
+    fundingRate: str
+    fundingTime: str
+    impactValue: str
+    instId: str
+    instType: OkxInstrumentType
+    interestRate: str
+    method: str
+    maxFundingRate: str
+    minFundingRate: str
+    nextFundingRate: str
+    nextFundingTime: str
+    premium: str
+    settFundingRate: str | None = None
+    settState: str
+    ts: str
+
+
+class OkxWsFundingRateMsg(msgspec.Struct):
+    arg: OkxWsArgMsg
+    data: list[OkxWsFundingRateData]
+
+
+class OkxAlgoOrderData(msgspec.Struct):
+    attachAlgoClOrdId: str
+    tpOrdKind: str
+    tpTriggerPx: str
+    tpTriggerPxType: OkxTriggerType
+    tpOrdPx: str
+    slTriggerPx: str
+    slTriggerPxType: OkxTriggerType
+    slOrdPx: str
+    sz: str
+
+
+class OkxWsOrderData(msgspec.Struct):
+    instType: OkxInstrumentType
+    instId: str
+    tgtCcy: str
+    ccy: str
+    ordId: str
+    clOrdId: str
+    tag: str
+    px: str
+    pxUsd: str
+    pxVol: str
+    pxType: str
+    sz: str
+    notionalUsd: str
+    ordType: OkxOrderType
+    side: OkxOrderSide
+    posSide: OkxPositionSide
+    tdMode: OkxTdMode
+    fillPx: str  # last fill price
+    tradeId: str  # last trade id
+    fillSz: str  # last filled quantity
+    fillPnl: str  # last filled profit and loss
+    fillTime: str  # last filled time
+    fillFee: str  # last filled fee
+    fillFeeCcy: str  # last filled fee currency
+    fillPxVol: str  # last filled price volume
+    fillPxUsd: str  # last filled price in USD
+    fillMarkVol: str  # last filled mark volume
+    fillFwdPx: str  # last filled forward price
+    fillMarkPx: str  # last filled mark price
+    execType: str  # last execution type
+    accFillSz: str  # accumulated filled quantity
+    fillNotionalUsd: str  # accumulated filled notional in USD
+    avgPx: str  # average price
+    state: OkxOrderStatus
+    lever: str  # leverage
+    attachAlgoClOrdId: str  # attached algo order id
+    tpTriggerPx: str  # take profit trigger price
+    tpTriggerPxType: OkxTriggerType  # take profit trigger price type
+    tpOrdPx: str  # take profit order price
+    slTriggerPx: str  # stop loss trigger price
+    slTriggerPxType: OkxTriggerType  # stop loss trigger price type
+    slOrdPx: str  # stop loss order price
+    attachAlgoOrds: List[OkxAlgoOrderData]
+    stpMode: str  # stop loss mode
+    feeCcy: str  # fee currency
+    fee: str  # fee
+    rebateCcy: str  # rebate currency
+    rebate: str  # rebate
+    pnl: str
+    source: str
+    cancelSource: str
+    amendSource: str
+    category: str
+    isTpLimit: bool
+    uTime: int
+    cTime: int
+    reqId: str
+    amendResult: str
+    reduceOnly: bool
+    quickMgnType: str
+    algoClOrdId: str
+    algoId: str
+    lastPx: str  # last price
+    code: str
+    msg: str
+
+
+class OkxWsOrderMsg(msgspec.Struct):
+    arg: OkxWsArgMsg
+    data: List[OkxWsOrderData]
+
+
+################################################################################
+# Place Order: POST /api/v5/trade/order
+################################################################################
+
+
+class OkxPlaceOrderData(msgspec.Struct):
+    ordId: str
+    clOrdId: str
+    tag: str
+    ts: str  # milliseconds when OKX finished order request processing
+    sCode: str  # event code, "0" means success
+    sMsg: str  # rejection or success message of event execution
+
+
+class OkxPlaceOrderResponse(msgspec.Struct):
+    code: str
+    msg: str
+    data: list[OkxPlaceOrderData]
+    inTime: str  # milliseconds when request hit REST gateway
+    outTime: str  # milliseconds when response leaves REST gateway
+
+
+################################################################################
+# Amend order: POST /api/v5/trade/amend-order
+################################################################################
+
+
+class OkxAmendOrderData(msgspec.Struct):
+    ordId: str
+    clOrdId: str
+    ts: str
+    reqId: str
+    sCode: str
+    sMsg: str
+
+
+class OkxAmendOrderResponse(msgspec.Struct):
+    code: str
+    msg: str
+    data: list[OkxAmendOrderData]
+    inTime: str
+    outTime: str
+
+
+################################################################################
+# Cancel order: POST /api/v5/trade/cancel-order
+################################################################################
+
+
+class OkxGeneralResponse(msgspec.Struct):
+    code: str
+    msg: str
+
+
+class OkxErrorData(msgspec.Struct):
+    sCode: str
+    sMsg: str
+
+
+class OkxErrorResponse(msgspec.Struct):
+    code: str
+    data: list[OkxErrorData]
+    msg: str
+
+
+class OkxCancelOrderData(msgspec.Struct):
+    ordId: str
+    clOrdId: str
+    ts: str  # milliseconds when OKX finished order request processing
+    sCode: str  # event code, "0" means success
+    sMsg: str  # rejection or success message of event execution
+
+
+class OkxCancelOrderResponse(msgspec.Struct):
+    code: str
+    msg: str
+    data: list[OkxCancelOrderData]
+    inTime: str  # milliseconds when request hit REST gateway
+    outTime: str  # milliseconds when response leaves REST gateway
+
+
+class OkxMarketInfo(msgspec.Struct, kw_only=True):
+    """
+    {
+        "alias": "",
+        "auctionEndTime": "",
+        "baseCcy": "BTC",
+        "category": "1",
+        "ctMult": "",
+        "ctType": "",
+        "ctVal": "",
+        "ctValCcy": "",
+        "expTime": "",
+        "instFamily": "",
+        "instId": "BTC-USDT",
+        "instType": "SPOT",
+        "lever": "10",
+        "listTime": "1611907686000",
+        "lotSz": "0.00000001",
+        "maxIcebergSz": "9999999999.0000000000000000",
+        "maxLmtAmt": "20000000",
+        "maxLmtSz": "9999999999",
+        "maxMktAmt": "1000000",
+        "maxMktSz": "1000000",
+        "maxStopSz": "1000000",
+        "maxTriggerSz": "9999999999.0000000000000000",
+        "maxTwapSz": "9999999999.0000000000000000",
+        "minSz": "0.00001",
+        "optType": "",
+        "quoteCcy": "USDT",
+        "ruleType": "normal",
+        "settleCcy": "",
+        "state": "live",
+        "stk": "",
+        "tickSz": "0.1",
+        "uly": ""
+    },
+
+    {
+        "alias": "this_week",
+        "auctionEndTime": "",
+        "baseCcy": "",
+        "category": "1",
+        "ctMult": "1",
+        "ctType": "linear",
+        "ctVal": "0.01",
+        "ctValCcy": "BTC",
+        "expTime": "1731657600000",
+        "instFamily": "BTC-USDT",
+        "instId": "BTC-USDT-241115",
+        "instType": "FUTURES",
+        "lever": "20",
+        "listTime": "1730448600359",
+        "lotSz": "0.1",
+        "maxIcebergSz": "1000000.0000000000000000",
+        "maxLmtAmt": "20000000",
+        "maxLmtSz": "1000000",
+        "maxMktAmt": "",
+        "maxMktSz": "3000",
+        "maxStopSz": "3000",
+        "maxTriggerSz": "1000000.0000000000000000",
+        "maxTwapSz": "1000000.0000000000000000",
+        "minSz": "0.1",
+        "optType": "",
+        "quoteCcy": "",
+        "ruleType": "normal",
+        "settleCcy": "USDT",
+        "state": "live",
+        "stk": "",
+        "tickSz": "0.1",
+        "uly": "BTC-USDT"
+    },
+
+    {
+        "alias": "",
+        "auctionEndTime": "",
+        "baseCcy": "",
+        "category": "1",
+        "ctMult": "1",
+        "ctType": "linear",
+        "ctVal": "0.01",
+        "ctValCcy": "BTC",
+        "expTime": "",
+        "instFamily": "BTC-USDT",
+        "instId": "BTC-USDT-SWAP",
+        "instType": "SWAP",
+        "lever": "100",
+        "listTime": "1573557408000",
+        "lotSz": "0.1",
+        "maxIcebergSz": "100000000.0000000000000000",
+        "maxLmtAmt": "20000000",
+        "maxLmtSz": "100000000",
+        "maxMktAmt": "",
+        "maxMktSz": "12000",
+        "maxStopSz": "12000",
+        "maxTriggerSz": "100000000.0000000000000000",
+        "maxTwapSz": "100000000.0000000000000000",
+        "minSz": "0.1",
+        "optType": "",
+        "quoteCcy": "",
+        "ruleType": "normal",
+        "settleCcy": "USDT",
+        "state": "live",
+        "stk": "",
+        "tickSz": "0.1",
+        "uly": "BTC-USDT"
+    },
+    """
+
+    alias: str | None = None  # Alias (this_week, next_week, etc)
+    auctionEndTime: str | None = None  # Auction end time
+    baseCcy: str | None = None  # Base currency
+    category: str | None = None  # Category
+    ctMult: str | None = None  # Contract multiplier
+    ctType: str | None = None  # Contract type (linear/inverse)
+    ctVal: str | None = None  # Contract value
+    ctValCcy: str | None = None  # Contract value currency
+    expTime: str | None = None  # Expiry time
+    instFamily: str | None = None  # Instrument family
+    instId: str
+    instIdCode: str
+    instType: str | None = None  # Instrument type (SPOT/FUTURES/SWAP)
+    lever: str | None = None  # Leverage
+    listTime: str | None = None  # Listing time
+    lotSz: str | None = None  # Lot size
+    maxIcebergSz: str | None = None  # Maximum iceberg order size
+    maxLmtAmt: str | None = None  # Maximum limit order amount
+    maxLmtSz: str | None = None  # Maximum limit order size
+    maxMktAmt: str | None = None  # Maximum market order amount
+    maxMktSz: str | None = None  # Maximum market order size
+    maxStopSz: str | None = None  # Maximum stop order size
+    maxTriggerSz: str | None = None  # Maximum trigger order size
+    maxTwapSz: str | None = None  # Maximum TWAP order size
+    minSz: str | None = None  # Minimum order size
+    optType: str | None = None  # Option type
+    quoteCcy: str | None = None  # Quote currency
+    ruleType: str | None = None  # Rule type
+    settleCcy: str | None = None  # Settlement currency
+    state: str | None = None  # Instrument state
+    stk: str | None = None  # Strike price
+    tickSz: str | None = None  # Tick size
+    uly: str | None = None  # Underlying
+
+
+class OkxMarket(BaseMarket):
+    """
+     {
+        "id": "BTC-USDT-SWAP",
+        "lowercaseId": null,
+        "symbol": "BTC/USDT:USDT",
+        "base": "BTC",
+        "quote": "USDT",
+        "settle": "USDT",
+        "baseId": "BTC",
+        "quoteId": "USDT",
+        "settleId": "USDT",
+        "type": "swap",
+        "spot": false,
+        "margin": false,
+        "swap": true,
+        "future": false,
+        "option": false,
+        "index": null,
+        "active": true,
+        "contract": true,
+        "linear": true,
+        "inverse": false,
+        "subType": "linear",
+        "taker": 0.0005,
+        "maker": 0.0002,
+        "contractSize": 0.01,
+        "expiry": null,
+        "expiryDatetime": null,
+        "strike": null,
+        "optionType": null,
+        "precision": {
+            "amount": 0.1,
+            "price": 0.1,
+            "cost": null,
+            "base": null,
+            "quote": null
+        },
+        "limits": {
+            "leverage": {
+                "min": 1.0,
+                "max": 100.0
+            },
+            "amount": {
+                "min": 0.1,
+                "max": null
+            },
+            "price": {
+                "min": null,
+                "max": null
+            },
+            "cost": {
+                "min": null,
+                "max": null
+            }
+        },
+        "marginModes": {
+            "cross": null,
+            "isolated": null
+        },
+        "created": 1573557408000,
+        "info": {
+            "alias": "",
+            "auctionEndTime": "",
+            "baseCcy": "",
+            "category": "1",
+            "ctMult": "1",
+            "ctType": "linear",
+            "ctVal": "0.01",
+            "ctValCcy": "BTC",
+            "expTime": "",
+            "instFamily": "BTC-USDT",
+            "instId": "BTC-USDT-SWAP",
+            "instType": "SWAP",
+            "lever": "100",
+            "listTime": "1573557408000",
+            "lotSz": "0.1",
+            "maxIcebergSz": "100000000.0000000000000000",
+            "maxLmtAmt": "20000000",
+            "maxLmtSz": "100000000",
+            "maxMktAmt": "",
+            "maxMktSz": "12000",
+            "maxStopSz": "12000",
+            "maxTriggerSz": "100000000.0000000000000000",
+            "maxTwapSz": "100000000.0000000000000000",
+            "minSz": "0.1",
+            "optType": "",
+            "quoteCcy": "",
+            "ruleType": "normal",
+            "settleCcy": "USDT",
+            "state": "live",
+            "stk": "",
+            "tickSz": "0.1",
+            "uly": "BTC-USDT"
+        },
+        "tierBased": null,
+        "percentage": null
+    },
+    """
+
+    info: OkxMarketInfo
+
+
+class OkxPositionCloseOrderAlgo(Struct):
+    algoId: str | None = None
+    slTriggerPx: str | None = None
+    slTriggerPxType: str | None = None
+    tpTriggerPx: str | None = None
+    tpTriggerPxType: str | None = None
+    closeFraction: str | None = None
+
+
+class OkxPosition(Struct, kw_only=True):
+    adl: str
+    availPos: str
+    avgPx: str
+    baseBal: str | None = None
+    baseBorrowed: str | None = None
+    baseInterest: str | None = None
+    bePx: str
+    bizRefId: str | None = None
+    bizRefType: str | None = None
+    cTime: str
+    ccy: str
+    clSpotInUseAmt: str | None = None
+    closeOrderAlgo: List[OkxPositionCloseOrderAlgo] = []
+    deltaBS: str | None = None
+    deltaPA: str | None = None
+    fee: str
+    fundingFee: str
+    gammaBS: str | None = None
+    gammaPA: str | None = None
+    idxPx: str
+    imr: str | None = None
+    instId: str
+    instType: str
+    interest: str | None = None
+    last: str
+    lever: str
+    liab: str | None = None
+    liabCcy: str | None = None
+    liqPenalty: str
+    liqPx: str
+    margin: str
+    markPx: str
+    maxSpotInUseAmt: str | None = None
+    mgnMode: str
+    mgnRatio: str
+    mmr: str
+    notionalUsd: str
+    optVal: str | None = None
+    pTime: str
+    pendingCloseOrdLiabVal: str | None = None
+    pnl: str
+    pos: str
+    posCcy: str | None = None
+    posId: str
+    posSide: OkxPositionSide
+    quoteBal: str | None = None
+    quoteBorrowed: str | None = None
+    quoteInterest: str | None = None
+    realizedPnl: str
+    spotInUseAmt: str | None = None
+    spotInUseCcy: str | None = None
+    thetaBS: str | None = None
+    thetaPA: str | None = None
+    tradeId: str
+    uTime: str
+    upl: str
+    uplLastPx: str
+    uplRatio: str
+    uplRatioLastPx: str
+    usdPx: str
+    vegaBS: str | None = None
+    vegaPA: str | None = None
+
+
+class OkxAccountDetail(Struct, kw_only=True):
+    accAvgPx: str | None = None
+    availBal: str
+    availEq: str
+    borrowFroz: str | None = None
+    cashBal: str
+    ccy: str
+    clSpotInUseAmt: str | None = None
+    coinUsdPrice: str
+    crossLiab: str | None = None
+    disEq: str
+    eq: str
+    eqUsd: str
+    fixedBal: str
+    frozenBal: str
+    imr: str
+    interest: str | None = None
+    isoEq: str
+    isoLiab: str | None = None
+    isoUpl: str
+    liab: str | None = None
+    maxLoan: str | None = None
+    maxSpotInUseAmt: str | None = None
+    mgnRatio: str | None = None
+    mmr: str
+    notionalLever: str
+    openAvgPx: str | None = None
+    ordFrozen: str
+    rewardBal: str
+    smtSyncEq: str
+    spotBal: str | None = None
+    spotCopyTradingEq: str
+    spotInUseAmt: str | None = None
+    spotIsoBal: str
+    spotUpl: str | None = None
+    spotUplRatio: str | None = None
+    stgyEq: str
+    totalPnl: str | None = None
+    totalPnlRatio: str | None = None
+    twap: str
+    uTime: str
+    upl: str
+    uplLiab: str | None = None
+
+    def parse_to_balance(self) -> Balance:
+        """Convert OKX account detail to standard Balance object"""
+        return Balance(
+            asset=self.ccy,
+            free=Decimal(self.availBal),
+            locked=Decimal(self.frozenBal),
+        )
+
+
+class OkxAccount(Struct):
+    adjEq: str | None = None
+    borrowFroz: str | None = None
+    details: List[OkxAccountDetail] | None = None
+    imr: str | None = None
+    isoEq: str | None = None
+    mgnRatio: str | None = None
+    mmr: str | None = None
+    notionalUsd: str | None = None
+    ordFroz: str | None = None
+    totalEq: str | None = None
+    uTime: str | None = None
+    upl: str | None = None
+
+    def parse_to_balance(self) -> list[Balance]:
+        return [detail.parse_to_balance() for detail in (self.details or [])]
+
+
+class OkxWsPositionMsg(Struct):
+    arg: dict
+    data: List[OkxPosition]
+
+
+class OkxWsAccountMsg(Struct):
+    arg: dict
+    data: List[OkxAccount]
+
+
+################################################################################
+# GET /api/v5/account/balance
+################################################################################
+
+
+class OkxBalanceDetail(msgspec.Struct):
+    availBal: str  # Available balance
+    availEq: str  # Available equity
+    borrowFroz: str  # Potential borrowing IMR in USD
+    cashBal: str  # Cash balance
+    ccy: str  # Currency
+    crossLiab: str  # Cross liabilities
+    disEq: str  # Discount equity in USD
+    eq: str  # Equity
+    eqUsd: str  # Equity in USD
+    smtSyncEq: str  # Smart sync equity
+    spotCopyTradingEq: str  # Spot smart sync equity
+    fixedBal: str  # Frozen balance for Dip/Peak Sniper
+    frozenBal: str  # Frozen balance
+    imr: str  # Cross initial margin requirement
+    interest: str  # Accrued interest
+    isoEq: str  # Isolated margin equity
+    isoLiab: str  # Isolated liabilities
+    isoUpl: str  # Isolated unrealized PnL
+    liab: str  # Liabilities
+    maxLoan: str  # Max loan
+    mgnRatio: str  # Cross margin ratio
+    mmr: str  # Cross maintenance margin requirement
+    notionalLever: str  # Leverage
+    ordFrozen: str  # Margin frozen for open orders
+    rewardBal: str  # Trial fund balance
+    spotInUseAmt: str  # Spot in use amount
+    clSpotInUseAmt: str  # User-defined spot risk offset amount
+    maxSpotInUse: str  # Max possible spot risk offset amount
+    spotIsoBal: str  # Spot isolated balance
+    stgyEq: str  # Strategy equity
+    twap: str  # Risk indicator of auto liability repayment
+    uTime: str  # Update time
+    upl: str  # Unrealized PnL
+    uplLiab: str  # Liabilities due to unrealized loss
+    spotBal: str  # Spot balance
+    openAvgPx: str  # Spot average cost price
+    accAvgPx: str  # Spot accumulated cost price
+    spotUpl: str  # Spot unrealized PnL
+    spotUplRatio: str  # Spot unrealized PnL ratio
+    totalPnl: str  # Spot accumulated PnL
+    totalPnlRatio: str  # Spot accumulated PnL ratio
+
+    def parse_to_balance(self) -> Balance:
+        return Balance(
+            asset=self.ccy,
+            free=Decimal(self.availBal),
+            locked=Decimal(self.frozenBal),
+        )
+
+
+class OkxBalanceData(msgspec.Struct):
+    adjEq: str  # Adjusted/Effective equity in USD
+    borrowFroz: str  # Potential borrowing IMR of account in USD
+    details: list[OkxBalanceDetail]  # Detailed asset information
+    imr: str  # Initial margin requirement in USD
+    isoEq: str  # Isolated margin equity in USD
+    mgnRatio: str  # Margin ratio in USD
+    mmr: str  # Maintenance margin requirement in USD
+    notionalUsd: str  # Notional value of positions in USD
+    ordFroz: str  # Cross margin frozen for pending orders
+    totalEq: str  # Total equity in USD
+    uTime: int  # Update time
+    upl: str  # Unrealized PnL in USD
+
+    def parse_to_balances(self) -> list[Balance]:
+        return [detail.parse_to_balance() for detail in self.details]
+
+
+class OkxBalanceResponse(msgspec.Struct):
+    code: str  # Response code
+    data: list[OkxBalanceData]  # Balance data
+    msg: str  # Response message
+
+
+################################################################################
+# GET /api/v5/account/positions
+################################################################################
+
+
+class OkxPositionResponseData(msgspec.Struct):
+    adl: str
+    availPos: str
+    avgPx: str
+    bePx: str
+    bizRefId: str
+    bizRefType: str
+    cTime: str
+    ccy: str
+    clSpotInUseAmt: str
+    closeOrderAlgo: List[OkxPositionCloseOrderAlgo]
+    deltaBS: str
+    deltaPA: str
+    fee: str
+    fundingFee: str
+    gammaBS: str
+    gammaPA: str
+    idxPx: str
+    imr: str
+    instId: str
+    instType: str
+    interest: str
+    last: str
+    lever: str
+    liab: str
+    liabCcy: str
+    liqPenalty: str
+    liqPx: str
+    margin: str
+    markPx: str
+    maxSpotInUseAmt: str
+    mgnMode: str
+    mgnRatio: str
+    mmr: str
+    notionalUsd: str
+    optVal: str
+    pendingCloseOrdLiabVal: str
+    pnl: str
+    pos: str
+    posCcy: str
+    posId: str
+    posSide: OkxPositionSide
+    realizedPnl: str
+    spotInUseAmt: str
+    spotInUseCcy: str
+    thetaBS: str
+    thetaPA: str
+    tradeId: str
+    uTime: int
+    upl: str
+    uplLastPx: str
+    uplRatio: str
+    uplRatioLastPx: str
+    usdPx: str
+    vegaBS: str
+    vegaPA: str
+
+
+class OkxPositionResponse(msgspec.Struct):
+    code: str
+    data: List[OkxPositionResponseData]
+    msg: str
+
+
+class OkxIndexCandlesticksResponse(msgspec.Struct):
+    code: str
+    data: list["OkxIndexCandlesticksResponseData"]
+    msg: str
+
+
+class OkxIndexCandlesticksResponseData(msgspec.Struct, array_like=True):
+    ts: int
+    o: str
+    h: str
+    l: str  # noqa: E741
+    c: str
+    confirm: str
+
+
+class OkxCandlesticksResponse(msgspec.Struct):
+    code: str
+    data: list["OkxCandlesticksResponseData"]
+    msg: str
+
+
+class OkxCandlesticksResponseData(msgspec.Struct, array_like=True):
+    """
+    [
+        "1597026383085",
+        "3.721",
+        "3.743",
+        "3.677",
+        "3.708",
+        "8422410",
+        "22698348.04828491",
+        "12698348.04828491",
+        "1"
+    ],
+    """
+
+    ts: int
+    o: str
+    h: str
+    l: str  # noqa: E741
+    c: str
+    vol: str
+    volCcy: str
+    volCcyQuote: str
+    confirm: int
+
+
+class OkxSavingsBalanceResponse(msgspec.Struct):
+    code: str
+    data: list["OkxSavingsBalanceResponseData"]
+    msg: str
+
+
+class OkxSavingsBalanceResponseData(msgspec.Struct):
+    """
+    ccy	String	币种，如 BTC
+    amt	String	币种数量
+    earnings	String	币种持仓收益
+    rate	String	最新出借利率
+    loanAmt	String	已出借数量
+    pendingAmt	String	未出借数量
+    """
+
+    ccy: str
+    amt: str
+    earnings: str
+    rate: str
+    loanAmt: str
+    pendingAmt: str
+
+
+class OkxSavingsPurchaseRedemptResponse(msgspec.Struct):
+    code: str
+    data: list["OkxSavingsPurchaseRedemptResponseData"]
+    msg: str
+
+
+class OkxSavingsPurchaseRedemptResponseData(msgspec.Struct):
+    ccy: str
+    amt: str
+    side: OkxSavingsPurchaseRedemptSide
+    rate: str
+
+
+class OkxSavingsLendingRateSummaryResponse(msgspec.Struct):
+    code: str
+    data: list["OkxSavingsLendingRateSummaryResponseData"]
+    msg: str
+
+
+class OkxSavingsLendingRateSummaryResponseData(msgspec.Struct):
+    """
+    ccy: str
+    avgAmt: str
+    avgAmtUsd: str
+    avgRate: str
+    preRate: str
+    estRate: str
+    """
+
+    ccy: str
+    avgAmt: str
+    avgAmtUsd: str
+    avgRate: str
+    preRate: str
+    estRate: str
+
+
+class OkxSavingsLendingRateHistoryResponse(msgspec.Struct):
+    code: str
+    data: list["OkxSavingsLendingRateHistoryResponseData"]
+    msg: str
+
+
+class OkxSavingsLendingRateHistoryResponseData(msgspec.Struct):
+    """
+    ccy	String	Currency, e.g. BTC
+    amt	String	Lending amount
+    rate	String	Lending annual interest rate
+    ts	String	Timestamp
+    """
+
+    ccy: str
+    amt: str
+    rate: str
+    ts: str
+
+
+class OkxAssetTransferResponse(msgspec.Struct):
+    code: str
+    data: list["OkxAssetTransferResponseData"]
+    msg: str
+
+
+class OkxAssetTransferResponseData(msgspec.Struct):
+    """
+    transId: str
+    ccy: str
+    clientId: str
+    from: str
+    amt: str
+    to: str
+
+    """
+
+    transId: str
+    ccy: str
+    clientId: str
+    from_acct: str = msgspec.field(name="from")
+    amt: str
+    to: str
+
+
+class OkxFinanceStakingDefiRedeemResponse(msgspec.Struct):
+    code: str
+    data: list["OkxFinanceStakingDefiRedeemResponseData"]
+    msg: str
+
+
+class OkxFinanceStakingDefiRedeemResponseData(msgspec.Struct):
+    ordId: str
+    tag: str
+
+
+class OkxFinanceStakingDefiPurchaseResponse(msgspec.Struct):
+    code: str
+    data: list["OkxFinanceStakingDefiPurchaseResponseData"]
+    msg: str
+
+
+class OkxFinanceStakingDefiPurchaseResponseData(msgspec.Struct):
+    ordId: str
+    tag: str
+
+
+class OkxFinanceStakingDefiOffersResponse(msgspec.Struct):
+    code: str
+    data: list["OkxFinanceStakingDefiOffersResponseData"]
+    msg: str
+
+
+class OkxFinanceStakingDefiOffersResponseData(msgspec.Struct):
+    ccy: str
+    productId: str
+    protocol: str
+    protocolType: str
+    term: str
+    apy: str
+    earlyRedeem: bool
+    state: str
+    investData: list["OkxFinanceStakingDefiOffersInvestData"]
+    earningData: list["OkxFinanceStakingDefiOffersEarningData"]
+    fastRedemptionDailyLimit: str
+    redeemPeriod: list[str]
+
+
+class OkxFinanceStakingDefiOffersInvestData(msgspec.Struct):
+    bal: str
+    ccy: str
+    maxAmt: str
+    minAmt: str
+
+
+class OkxFinanceStakingDefiOffersEarningData(msgspec.Struct):
+    ccy: str
+    earningType: str
+
+
+class OkxAccountConfigResponse(msgspec.Struct):
+    code: str
+    data: list["OkxAccountConfigResponseData"]
+    msg: str
+
+
+class OkxAccountConfigResponseData(msgspec.Struct):
+    """
+    Account configuration response data from OKX API.
+    """
+
+    uid: str  # Account ID of current request
+    mainUid: str  # Main Account ID of current request
+    acctLv: OkxAcctLv  # Account mode (1: Spot, 2: Futures, 3: Multi-currency margin, 4: Portfolio margin)
+    acctStpMode: str  # Account self-trade prevention mode (cancel_maker, cancel_taker, cancel_both)
+    posMode: OkxPositionMode  # Position mode (long_short_mode, net_mode)
+    autoLoan: bool  # Whether to borrow coins automatically
+    greeksType: (
+        str  # Current display type of Greeks (PA: coins, BS: Black-Scholes in dollars)
+    )
+    level: str  # User level of current real trading volume
+    levelTmp: str  # Temporary experience user level
+    ctIsoMode: str  # Contract isolated margin trading settings (automatic, autonomy)
+    mgnIsoMode: str  # Margin isolated margin trading settings (auto_transfers_ccy, automatic, quick_margin)
+    spotOffsetType: str  # Risk offset type (1: Spot-Derivatives(USDT), 2: Spot-Derivatives(Coin), 3: Only derivatives)
+    roleType: str  # Role type (0: General user, 1: Leading trader, 2: Copy trader)
+    traderInsts: list[str]  # Leading trade instruments
+    spotRoleType: str  # SPOT copy trading role type (0: General user, 1: Leading trader, 2: Copy trader)
+    spotTraderInsts: list[str]  # Spot lead trading instruments
+    opAuth: (
+        str  # Whether optional trading was activated (0: not activate, 1: activated)
+    )
+    kycLv: str  # Main account KYC level (0: No verification, 1: level 1, 2: level 2, 3: level 3)
+    label: str  # API key note
+    ip: str  # IP addresses linked with current API key
+    perm: str  # Permission of current API key (read_only, trade, withdraw)
+    liquidationGear: str  # Maintenance margin ratio level of liquidation alert
+    enableSpotBorrow: bool  # Whether borrow is allowed in Spot mode
+    spotBorrowAutoRepay: bool  # Whether auto-repay is allowed in Spot mode
+    type: str  # Account type (0: Main account, 1: Standard sub-account, 2: Managed trading sub-account, etc.)
+
+
+class OkxBatchOrderResponse(msgspec.Struct):
+    """
+    Response structure for batch order operations.
+    """
+
+    code: str  # Response code
+    msg: str  # Response message
+    data: list["OkxBatchOrderResponseData"]  # List of order data
+    inTime: str  # Time when the request was received by the REST gateway
+    outTime: str  # Time when the response was sent from the REST gateway
+
+
+class OkxBatchOrderResponseData(msgspec.Struct):
+    """
+    Data structure for individual order in batch order response.
+    """
+
+    ordId: str  # Order ID
+    clOrdId: str  # Client order ID
+    tag: str  # Tag associated with the order
+    ts: str  # Timestamp when the order was processed
+    sCode: str  # Status code of the order processing (0 means success)
+    sMsg: str  # Status message of the order processing (success or error message)
+
+
+################################################################################
+# Cancel Batch Orders: POST /api/v5/trade/cancel-batch-orders
+################################################################################
+
+
+class OkxCancelBatchOrderResponseData(msgspec.Struct):
+    """
+    Data structure for individual order in batch cancel order response.
+    """
+
+    ordId: str  # Order ID
+    clOrdId: str  # Client order ID
+    ts: str  # Timestamp when the order request processing is finished
+    sCode: str  # Event execution result code (0 means success)
+    sMsg: str  # Rejection message if the request is unsuccessful
+
+
+class OkxCancelBatchOrderResponse(msgspec.Struct):
+    """
+    Response structure for POST /api/v5/trade/cancel-batch-orders.
+    """
+
+    code: str  # Response code (0 means success)
+    msg: str  # Error message (empty if code is 0)
+    data: list[OkxCancelBatchOrderResponseData]  # Array of cancellation results
+    inTime: str  # Timestamp at REST gateway when request is received
+    outTime: str  # Timestamp at REST gateway when response is sent
+
+
+################################################################################
+# GET /api/v5/market/tickers
+################################################################################
+
+
+class OkxTickerData(msgspec.Struct):
+    """
+    Ticker data structure for OKX market tickers.
+    """
+
+    instType: str  # Instrument type
+    instId: str  # Instrument ID
+    last: str  # Last traded price
+    lastSz: str  # Last traded size
+    askPx: str  # Best ask price
+    askSz: str  # Best ask size
+    bidPx: str  # Best bid price
+    bidSz: str  # Best bid size
+    open24h: str  # Open price in the past 24 hours
+    high24h: str  # Highest price in the past 24 hours
+    low24h: str  # Lowest price in the past 24 hours
+    volCcy24h: str  # 24h trading volume in currency
+    vol24h: str  # 24h trading volume in contracts
+    sodUtc0: str  # Open price in UTC 0
+    sodUtc8: str  # Open price in UTC 8
+    ts: str  # Ticker data generation time
+
+
+class OkxTickersResponse(msgspec.Struct):
+    """
+    Response structure for GET /api/v5/market/tickers.
+    """
+
+    code: str  # Response code
+    msg: str  # Response message
+    data: list[OkxTickerData]  # List of ticker data
+
+
+################################################################################
+# GET /api/v5/trade/order
+################################################################################
+
+
+class OkxLinkedAlgoOrd(msgspec.Struct):
+    """Linked algorithm order details"""
+
+    algoId: str
+
+
+class OkxAttachAlgoOrd(msgspec.Struct):
+    """Attached TP/SL order details"""
+
+    attachAlgoId: str | None = None
+    attachAlgoClOrdId: str | None = None
+    tpOrdKind: str | None = None
+    tpTriggerPx: str | None = None
+    tpTriggerPxType: str | None = None
+    tpOrdPx: str | None = None
+    slTriggerPx: str | None = None
+    slTriggerPxType: str | None = None
+    slOrdPx: str | None = None
+    sz: str | None = None
+    amendPxOnTriggerType: str | None = None
+    failCode: str | None = None
+    failReason: str | None = None
+
+
+class OkxOrderData(msgspec.Struct):
+    """
+    Order data structure for GET /api/v5/trade/order response.
+    """
+
+    accFillSz: str  # Accumulated filled quantity
+    algoClOrdId: str  # Client-supplied Algo ID
+    algoId: str  # Algo ID
+    attachAlgoClOrdId: str  # Client-supplied Algo ID when placing order attaching TP/SL
+    attachAlgoOrds: list[
+        OkxAttachAlgoOrd
+    ]  # TP/SL information attached when placing order
+    avgPx: str  # Average filled price
+    cTime: str  # Creation time
+    cancelSource: str  # Code of the cancellation source
+    cancelSourceReason: str  # Reason for the cancellation
+    category: str  # Category (normal, twap, adl, etc.)
+    ccy: str  # Margin currency
+    clOrdId: str  # Client Order ID
+    fee: str  # Fee
+    feeCcy: str  # Fee currency
+    fillPx: str  # Last filled price
+    fillSz: str  # Last filled quantity
+    fillTime: str  # Last filled time
+    instId: str  # Instrument ID
+    instType: str  # Instrument type
+    isTpLimit: str  # Whether it is TP limit order
+    lever: str  # Leverage
+    linkedAlgoOrd: OkxLinkedAlgoOrd  # Linked SL order detail
+    ordId: str  # Order ID
+    ordType: OkxOrderType  # Order type
+    pnl: str  # Profit and loss
+    posSide: OkxPositionSide  # Position side
+    px: str  # Price
+    pxType: str  # Price type
+    pxUsd: str  # Options price in USD
+    pxVol: str  # Implied volatility of the options order
+    quickMgnType: str  # Quick Margin type
+    rebate: str  # Rebate amount
+    rebateCcy: str  # Rebate currency
+    reduceOnly: bool  # Whether the order can only reduce the position size
+    side: OkxOrderSide  # Order side
+    slOrdPx: str  # Stop-loss order price
+    slTriggerPx: str  # Stop-loss trigger price
+    slTriggerPxType: str  # Stop-loss trigger price type
+    source: str  # Order source
+    state: OkxOrderStatus  # State
+    stpId: str  # Self trade prevention ID
+    stpMode: str  # Self trade prevention mode
+    sz: str  # Quantity to buy or sell
+    tag: str  # Order tag
+    tdMode: str  # Trade mode
+    tgtCcy: str  # Order quantity unit setting for sz
+    tpOrdPx: str  # Take-profit order price
+    tpTriggerPx: str  # Take-profit trigger price
+    tpTriggerPxType: str  # Take-profit trigger price type
+    tradeId: str  # Last traded ID
+    tradeQuoteCcy: str  # The quote currency used for trading
+    uTime: str  # Update time
+
+
+class OkxOrderResponse(msgspec.Struct):
+    """
+    Response structure for GET /api/v5/trade/order.
+    """
+
+    code: str  # Response code
+    data: list[OkxOrderData]  # Order data
+    msg: str  # Response message
+
+
+class OkxWsApiOrderResponseData(msgspec.Struct, frozen=True, kw_only=True):
+    clOrdId: str
+    ordId: str
+    tag: str | None = None
+    ts: str
+    sCode: str
+    sMsg: str
+
+
+class OkxWsApiOrderResponse(msgspec.Struct, frozen=True):
+    """
+    WebSocket API order response structure.
+    """
+
+    id: str
+    op: OkxWsApiOp
+    data: list[OkxWsApiOrderResponseData]
+    code: str
+    msg: str
+    inTime: str
+    outTime: str
+
+    @property
+    def is_success(self):
+        return self.code == "0"
+
+    @property
+    def error_msg(self):
+        return (
+            f"code={self.data[0].sCode}, msg={self.data[0].sMsg}"
+            if self.data
+            else "Unknown Error"
+        )
+
+
+class OkxWsBooksData(msgspec.Struct):
+    asks: list[OkxWsBook5BookDelta]
+    bids: list[OkxWsBook5BookDelta]
+    ts: str
+    checksum: int
+    prevSeqId: int
+    seqId: int
+
+
+class OkxWsBooksMsg(msgspec.Struct):
+    arg: OkxWsArgMsg
+    action: str
+    data: list[OkxWsBooksData]
+
+
+class OkxOrderBook:
+    """Local order book state manager for OKX books channel (400-level incremental)."""
+
+    def __init__(self):
+        self.bids: Dict[float, float] = {}
+        self.asks: Dict[float, float] = {}
+        self.seq_id: int = -1
+
+    def apply_snapshot(self, data: OkxWsBooksData) -> None:
+        self.bids = {float(d.price): float(d.size) for d in data.bids}
+        self.asks = {float(d.price): float(d.size) for d in data.asks}
+        self.seq_id = data.seqId
+
+    def apply_update(self, data: OkxWsBooksData) -> None:
+        for d in data.bids:
+            price = float(d.price)
+            size = float(d.size)
+            if size == 0.0:
+                self.bids.pop(price, None)
+            else:
+                self.bids[price] = size
+        for d in data.asks:
+            price = float(d.price)
+            size = float(d.size)
+            if size == 0.0:
+                self.asks.pop(price, None)
+            else:
+                self.asks[price] = size
+        self.seq_id = data.seqId
+
+    def get_orderbook(self) -> dict:
+        from walrasquant.schema import BookOrderData
+
+        bids = sorted(self.bids.items(), reverse=True)
+        asks = sorted(self.asks.items())
+        return {
+            "bids": [BookOrderData(price=p, size=s) for p, s in bids],
+            "asks": [BookOrderData(price=p, size=s) for p, s in asks],
+        }