"""OKX source adapter — OHLC (candles + history-candles), trades, order book."""
from __future__ import annotations
import json
import logging
import time
from collections.abc import AsyncIterator
from typing import Any
from dccd.domain.capability import Capability
from dccd.domain.records import OHLCBar, OrderBookLevel, OrderBookSnapshot, Trade
from dccd.domain.symbol import Symbol
from dccd.domain.timeutils import okx_interval
from dccd.domain.types import DataType
from dccd.sources.base import (
OHLCHistory,
OHLCLive,
OrderBookLive,
OrderBookSnapshotREST,
TradesHistory,
TradesLive,
)
from dccd.transport.http import AsyncHTTPClient
from dccd.transport.ws import WebSocketBase
__all__ = ["OKXSource"]
logger = logging.getLogger(__name__)
_BASE = "https://www.okx.com/api/v5/market"
_WS_BASE = "wss://ws.okx.com:8443/ws/v5/public"
[docs]
class OKXSource(
OHLCHistory,
TradesHistory,
OrderBookSnapshotREST,
OHLCLive,
TradesLive,
OrderBookLive,
):
"""OKX source adapter.
- **Backfill**: OHLC (full, via ``history-candles``), trades (full, via
``history-trades``, paged backward by timestamp), order-book snapshot.
- **Stream**: OHLC, trades, order book.
See Also
--------
dccd.Client : the public facade.
Examples
--------
>>> from dccd.sources.okx import OKXSource
>>> OKXSource().capability_for(DataType.TRADES, 'rest', 'historical').history
'full'
"""
exchange = "okx"
def __init__(self, http: AsyncHTTPClient | None = None) -> None:
self._http = http or AsyncHTTPClient()
[docs]
def capabilities(self) -> list[Capability]:
"""Declared capabilities, one per (data type × transport × mode)."""
return [
Capability(
data_type=DataType.OHLC, transport="rest", mode="historical",
history="full", max_per_request=100, page_direction="backward",
spans=[60, 180, 300, 900, 1800, 3600, 7200, 14400, 21600, 43200, 86400, 604800, 2592000],
),
Capability(
data_type=DataType.TRADES, transport="rest", mode="historical",
history="full", max_per_request=100, page_direction="backward",
),
Capability(
data_type=DataType.ORDERBOOK, transport="rest", mode="historical",
max_depth=400,
),
Capability(data_type=DataType.OHLC, transport="ws", mode="live"),
Capability(data_type=DataType.TRADES, transport="ws", mode="live"),
Capability(data_type=DataType.ORDERBOOK, transport="ws", mode="live", max_depth=5),
]
[docs]
def render_symbol(self, s: Symbol) -> str:
"""Render a canonical :class:`~dccd.domain.symbol.Symbol` to this exchange's string."""
return f"{s.base}-{s.quote}"
[docs]
async def fetch_ohlc_page(
self,
symbol: Symbol,
span: int,
start_ns: int,
end_ns: int,
limit: int,
) -> list[OHLCBar]:
"""Fetch one page of OHLC bars (see :meth:`~dccd.sources.base.OHLCHistory.fetch_ohlc_page`)."""
bar = okx_interval(span)
if not bar:
return []
pair = self.render_symbol(symbol)
params: dict[str, Any] = {
"instId": pair,
"bar": bar,
"before": str(start_ns // 1_000_000),
"after": str(end_ns // 1_000_000),
"limit": min(limit, 100),
}
async with self._http as client:
data = await client.get(f"{_BASE}/history-candles", params)
bars = []
for e in data.get("data", []):
bars.append(OHLCBar(
ts=int(e[0]) * 1_000_000,
open=float(e[1]),
high=float(e[2]),
low=float(e[3]),
close=float(e[4]),
volume=float(e[5]),
quote_volume=float(e[6]) if len(e) > 6 else None,
))
return bars
[docs]
async def fetch_trades_page(
self,
symbol: Symbol,
start_ns: int,
end_ns: int,
limit: int,
cursor: str | None = None,
) -> tuple[list[Trade], str | None]:
"""Fetch one page of trades (cursor = OKX ``after`` ts in ms).
OKX ``history-trades`` (type=2) returns records *earlier than* the
``after`` timestamp, newest first. We page **backward** from ``end_ns``
until the oldest item drops below ``start_ns`` or a short page arrives.
"""
pair = self.render_symbol(symbol)
after = cursor if cursor is not None else str(end_ns // 1_000_000)
params: dict[str, Any] = {
"instId": pair,
"limit": min(limit, 100),
"after": after,
"type": "2",
}
async with self._http as client:
data = await client.get(f"{_BASE}/history-trades", params)
rows = data.get("data", [])
trades = [
Trade(
ts=int(e["ts"]) * 1_000_000,
price=float(e["px"]),
amount=float(e["sz"]),
side="buy" if e.get("side") == "buy" else "sell",
tid=str(e.get("tradeId", "")),
)
for e in rows
]
if not rows or len(rows) < min(limit, 100):
return trades, None
oldest_ts_ms = int(rows[-1]["ts"])
next_cursor = str(oldest_ts_ms) if oldest_ts_ms > start_ns // 1_000_000 else None
return trades, next_cursor
[docs]
async def fetch_orderbook(self, symbol: Symbol, depth: int) -> OrderBookSnapshot:
"""Fetch a current order-book snapshot up to *depth* levels."""
pair = self.render_symbol(symbol)
params = {"instId": pair, "sz": min(depth, 400)}
async with self._http as client:
data = await client.get(f"{_BASE}/books", params)
book = (data.get("data") or [{}])[0]
bids = [OrderBookLevel(price=float(b[0]), amount=float(b[1])) for b in book.get("bids", [])]
asks = [OrderBookLevel(price=float(a[0]), amount=float(a[1])) for a in book.get("asks", [])]
ts_ms = int(book.get("ts", int(time.time() * 1000)))
return OrderBookSnapshot(ts=ts_ms * 1_000_000, bids=bids, asks=asks)
[docs]
def stream_ohlc(self, symbol: Symbol, span: int) -> AsyncIterator[OHLCBar]:
"""Stream live OHLC bars over WebSocket."""
bar = okx_interval(span) or "1m"
ws = _OKXWS(self.render_symbol(symbol), "candle" + bar, "ohlc")
return ws.stream()
[docs]
def stream_trades(self, symbol: Symbol) -> AsyncIterator[Trade]:
"""Stream live trades over WebSocket."""
ws = _OKXWS(self.render_symbol(symbol), "trades", "trades")
return ws.stream()
[docs]
def stream_orderbook(self, symbol: Symbol, depth: int) -> AsyncIterator[OrderBookSnapshot]:
"""Stream live order-book snapshots over WebSocket.
Uses the ``books5`` channel — a full sorted top-5 snapshot pushed every
100ms — rather than ``books``, whose unmerged deltas yield a
meaningless/crossed best bid-ask.
"""
ws = _OKXWS(self.render_symbol(symbol), "books5", "books")
return ws.stream()
class _OKXWS(WebSocketBase):
def __init__(self, instId: str, channel: str, mode: str) -> None:
super().__init__(_WS_BASE)
self._instId = instId
self._channel = channel
self._mode = mode
async def on_connect(self, ws: Any) -> None:
"""Send the subscription message after each (re)connect."""
await ws.send(json.dumps({
"op": "subscribe",
"args": [{"channel": self._channel, "instId": self._instId}],
}))
async def parse_message(self, raw: str | bytes) -> AsyncIterator[Any]:
"""Parse a raw WebSocket frame into domain records."""
data = json.loads(raw)
if "data" not in data:
return
if self._mode == "ohlc":
for e in data["data"]:
yield OHLCBar(
ts=int(e[0]) * 1_000_000,
open=float(e[1]),
high=float(e[2]),
low=float(e[3]),
close=float(e[4]),
volume=float(e[5]),
)
elif self._mode == "trades":
for e in data["data"]:
yield Trade(
ts=int(e["ts"]) * 1_000_000,
price=float(e["px"]),
amount=float(e["sz"]),
side=e.get("side"),
tid=str(e.get("tradeId", "")),
)
elif self._mode == "books":
for snap in data["data"]:
bids = [OrderBookLevel(price=float(b[0]), amount=float(b[1])) for b in snap.get("bids", [])]
asks = [OrderBookLevel(price=float(a[0]), amount=float(a[1])) for a in snap.get("asks", [])]
ts_ms = int(snap.get("ts", int(time.time() * 1000)))
yield OrderBookSnapshot(ts=ts_ms * 1_000_000, bids=bids, asks=asks)
