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Harden trading, training, and monitoring

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Codex
2026-07-10 15:51:53 +03:00
parent 6fb79ee2a9
commit 069d75d2f2
55 changed files with 2658 additions and 2332049 deletions
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crypto_spot_bot/market_data.py
+94 -40
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@@ -2,6 +2,7 @@ from __future__ import annotations
import asyncio
import json
import threading
from dataclasses import asdict
from datetime import datetime
from typing import Any
@@ -56,6 +57,9 @@ class MarketData:
self.last_ws_message_at: datetime | None = None
self.ws_connected = False
self._stop_event = asyncio.Event()
self._refresh_lock = threading.Lock()
self.rest_error_count = 0
self.last_rest_error = ""
async def bootstrap(self) -> None:
self.instruments = await asyncio.to_thread(self.client.instruments)
@@ -76,47 +80,60 @@ class MarketData:
if symbol in self.instruments
]
self.storage.event("Торговые пары: " + ", ".join(self.symbols))
await asyncio.to_thread(self.refresh_rest)
await asyncio.to_thread(self.refresh_rest, True)
def refresh_rest(self) -> None:
ticker_map = {ticker.symbol: ticker for ticker in self.client.spot_tickers()}
for symbol in self.symbols:
ticker = ticker_map.get(symbol)
if ticker:
self.tickers[symbol] = ticker
try:
candles = self.client.klines(
symbol=symbol,
interval=self.settings.base_interval,
limit=self.settings.kline_limit,
)
candles = _closed_candles(candles, self.settings.base_interval)
add_indicators(candles)
self.candles[symbol] = candles
trend_candles = self.client.klines(
symbol=symbol,
interval=self.settings.trend_interval,
limit=self.settings.trend_kline_limit,
)
trend_candles = _closed_candles(trend_candles, self.settings.trend_interval)
add_indicators(trend_candles)
self.trend_candles[symbol] = trend_candles
bid, ask = self.client.orderbook_top(symbol)
self.orderbook_top[symbol] = (bid, ask)
if symbol in self.tickers:
current = self.tickers[symbol]
self.tickers[symbol] = Ticker(
symbol=current.symbol,
last_price=current.last_price,
bid=bid or current.bid,
ask=ask or current.ask,
turnover_24h=current.turnover_24h,
volume_24h=current.volume_24h,
change_24h=current.change_24h,
)
except Exception as exc:
self.storage.event(f"{symbol}: ошибка обновления REST данных: {exc}", "ERROR")
self.last_rest_refresh_at = utc_now()
def refresh_rest(self, force_candles: bool = False) -> None:
if not self._refresh_lock.acquire(blocking=False):
return
try:
ticker_map = {ticker.symbol: ticker for ticker in self.client.spot_tickers()}
for symbol in self.symbols:
ticker = ticker_map.get(symbol)
if ticker:
self.tickers[symbol] = ticker
try:
if force_candles or _candles_due(self.candles.get(symbol, []), self.settings.base_interval):
candles = self.client.klines(
symbol=symbol,
interval=self.settings.base_interval,
limit=self.settings.kline_limit,
)
candles = _closed_candles(candles, self.settings.base_interval)
add_indicators(candles)
self.candles[symbol] = candles
if force_candles or _candles_due(
self.trend_candles.get(symbol, []), self.settings.trend_interval
):
trend_candles = self.client.klines(
symbol=symbol,
interval=self.settings.trend_interval,
limit=self.settings.trend_kline_limit,
)
trend_candles = _closed_candles(trend_candles, self.settings.trend_interval)
add_indicators(trend_candles)
self.trend_candles[symbol] = trend_candles
bid, ask = self.client.orderbook_top(symbol)
self.orderbook_top[symbol] = (bid, ask)
if symbol in self.tickers:
current = self.tickers[symbol]
self.tickers[symbol] = Ticker(
symbol=current.symbol,
last_price=current.last_price,
bid=bid or current.bid,
ask=ask or current.ask,
turnover_24h=current.turnover_24h,
volume_24h=current.volume_24h,
change_24h=current.change_24h,
)
except Exception as exc:
self.rest_error_count += 1
self.last_rest_error = str(exc)
self.storage.event(f"{symbol}: ошибка обновления REST данных: {exc}", "ERROR")
self.last_rest_refresh_at = utc_now()
if ticker_map:
self.last_rest_error = ""
finally:
self._refresh_lock.release()
async def websocket_loop(self) -> None:
if not self.settings.websocket_enabled:
@@ -227,10 +244,36 @@ class MarketData:
def prices(self) -> dict[str, float]:
return {symbol: ticker.last_price for symbol, ticker in self.tickers.items()}
def symbol_freshness(self, symbol: str) -> dict[str, Any]:
ticker = self.tickers.get(symbol)
candles = self.candles.get(symbol, [])
ticker_age = (utc_now() - ticker.updated_at).total_seconds() if ticker else None
interval_ms = _interval_ms(self.settings.base_interval)
candle_age = (
max(0.0, (utc_now().timestamp() * 1000 - candles[-1].timestamp) / 1000)
if candles
else None
)
ticker_ok = ticker_age is not None and ticker_age <= self.settings.market_ticker_max_age_seconds
candle_ok = bool(
candle_age is not None
and interval_ms > 0
and candle_age <= (interval_ms / 1000) * 2.5
)
return {
"ok": bool(ticker_ok and candle_ok),
"ticker_ok": ticker_ok,
"candle_ok": candle_ok,
"ticker_age_seconds": round(ticker_age, 3) if ticker_age is not None else None,
"candle_age_seconds": round(candle_age, 3) if candle_age is not None else None,
}
def snapshot(self) -> dict[str, Any]:
return {
"symbols": self.symbols,
"ws_connected": self.ws_connected,
"rest_error_count": self.rest_error_count,
"last_rest_error": self.last_rest_error,
"quality": market_quality_snapshot(
symbols=self.symbols,
candles_by_symbol=self.candles,
@@ -291,3 +334,14 @@ def _interval_ms(interval: str) -> int:
if normalized.isdigit():
return int(normalized) * 60 * 1000
return 0
def _candles_due(candles: list[Candle], interval: str, now_ms: int | None = None) -> bool:
if not candles:
return True
interval_ms = _interval_ms(interval)
if interval_ms <= 0:
return True
now_ms = now_ms if now_ms is not None else int(utc_now().timestamp() * 1000)
expected_latest_start = (now_ms // interval_ms - 1) * interval_ms
return candles[-1].timestamp < expected_latest_start