mirror of
https://github.com/OpenByteInc/QuantDinger.git
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TIANHE
6f82a5f5b0
Normalize venue contract quantities before posting and derive incremental prices and fees from cumulative order snapshots. Serialize ledger, position and grid state updates; reconcile delayed fees and preserve rebates, fractional quantities and native fee currencies across supported venues. Fix product/account routing, REST adapter contracts, initial grid recovery, and migration bootstrap registration. Add PostgreSQL concurrency and rollback regression coverage to CI and document venue contracts/deployment. Validation: 2716 passed, 7 environment skips, 23 integration/stress deselected; critical lint, compile, structure, lockfile and documentation checks passed. Real exchange order placement was not exercised. Refs #248.
123 lines
4.0 KiB
Python
123 lines
4.0 KiB
Python
"""Canonical live fill event types shared by every venue adapter."""
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from __future__ import annotations
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import hashlib
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import json
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from dataclasses import dataclass, field
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from datetime import datetime, timezone
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from typing import Any, Dict, List, Optional
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def as_float(value: Any) -> float:
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try:
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return float(value or 0.0)
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except (TypeError, ValueError):
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return 0.0
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def as_millis_datetime(value: Any) -> datetime:
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raw = as_float(value)
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if raw <= 0:
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return datetime.now(timezone.utc)
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if raw > 10_000_000_000_000:
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raw /= 1_000_000.0
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elif raw > 10_000_000_000:
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raw /= 1000.0
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return datetime.fromtimestamp(raw, tz=timezone.utc)
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def normalize_status(value: Any) -> str:
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raw = str(value or "").strip().lower().replace("-", "_")
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if raw in {"filled", "fill", "closed", "done", "fully_filled", "full_fill"}:
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return "filled"
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if raw in {"partiallyfilled", "partially_filled", "partial_fill", "partial"}:
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return "partial"
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if raw in {"cancelled", "canceled", "expired", "rejected", "failed"}:
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return "cancelled"
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if raw in {"new", "open", "live", "submitted", "accepted"}:
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return "open"
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return raw
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def normalize_symbol(value: Any) -> str:
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raw = str(value or "").strip().upper()
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if not raw:
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return ""
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raw = raw.replace("-", "/").replace("_", "/")
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for contract_suffix in ("/SWAP", "/PERP", "/PERPETUAL"):
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if raw.endswith(contract_suffix):
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raw = raw[: -len(contract_suffix)]
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for suffix in ("USDT", "USDC", "USD", "BTC", "ETH"):
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if "/" not in raw and raw.endswith(suffix) and len(raw) > len(suffix):
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return f"{raw[:-len(suffix)]}/{suffix}"
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return raw
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@dataclass(frozen=True)
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class FeeComponent:
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currency: str
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amount: float
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fee_type: str = "trade"
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source: str = "websocket"
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quote_amount: Optional[float] = None
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@dataclass
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class ExecutionEvent:
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exchange_id: str
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market_type: str
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symbol: str
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exchange_order_id: str = ""
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client_order_id: str = ""
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exchange_fill_id: str = ""
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side: str = ""
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position_side: str = ""
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order_status: str = ""
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price: float = 0.0
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quantity: float = 0.0
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cumulative_quantity: float = 0.0
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is_cumulative: bool = False
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cumulative_average_price: float = 0.0
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fees_cumulative: bool = False
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realized_pnl: Optional[float] = None
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maker: Optional[bool] = None
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fee_status: str = "pending"
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occurred_at: datetime = field(default_factory=lambda: datetime.now(timezone.utc))
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fees: List[FeeComponent] = field(default_factory=list)
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raw: Dict[str, Any] = field(default_factory=dict)
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credential_id: int = 0
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user_id: int = 1
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account_id: str = ""
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def event_key(self) -> str:
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stable_fill = str(self.exchange_fill_id or "").strip()
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if stable_fill:
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basis = (
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f"{self.exchange_id}|{self.credential_id}|{self.market_type}|"
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f"{self.symbol}|{self.exchange_order_id}|{stable_fill}"
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)
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else:
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basis = json.dumps(
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{
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"e": self.exchange_id,
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"c": self.credential_id,
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"m": self.market_type,
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"o": self.exchange_order_id,
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"co": self.client_order_id,
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"s": self.symbol,
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"q": round(float(self.quantity or 0.0), 12),
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"cq": round(float(self.cumulative_quantity or 0.0), 12),
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"p": round(float(self.price or 0.0), 12),
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"t": self.occurred_at.isoformat(),
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"st": self.order_status,
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},
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sort_keys=True,
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separators=(",", ":"),
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)
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if self.fees_cumulative:
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basis += json.dumps({"q": self.cumulative_quantity, "p": self.cumulative_average_price,
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"fees": sorted((f.currency, f.fee_type, f.amount) for f in self.fees),
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"status": self.fee_status}, sort_keys=True)
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return hashlib.sha256(basis.encode("utf-8")).hexdigest()
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