Snapshot nautilus_mm after EXP_002 Phase 1 stop.

Keep frozen research conclusions and code; raw ledgers and secrets stay out of git. Co-authored-by: Cursor <cursoragent@cursor.com>
2026-09-10 16:53:22 +08:00
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+#!/usr/bin/env python3
+"""
+CCXT 轻量 L2 录音机（不依赖 Nautilus）
+
+用途：在 Nautilus 节点未就绪时，先用代理拉 Binance USDT-M 盘口 + trades，
+写入与 Maker Edge 相同的 jsonl schema（book history + 模拟 quote 心跳）。
+
+用法：
+  cd nautilus_mm
+  source .venv/bin/activate
+  export PYTHONPATH=src
+  export HTTPS_PROXY=http://127.0.0.1:7897
+  python scripts/record_l2_ccxt.py
+"""
+
+from __future__ import annotations
+
+import os
+import sys
+import time
+from pathlib import Path
+
+_ROOT = Path(__file__).resolve().parents[1]
+sys.path.insert(0, str(_ROOT / "src"))
+
+import ccxt  # type: ignore
+
+from nautilus_mm.recorder import MakerEdgeLogger
+
+
+def main() -> None:
+    proxy = os.getenv("HTTPS_PROXY") or os.getenv("HTTP_PROXY") or "http://127.0.0.1:7897"
+    symbol = os.getenv("CCXT_SYMBOL", "BTC/USDT:USDT")
+    poll = float(os.getenv("POLL_SECS", "2"))
+    log_dir = os.getenv("MAKER_EDGE_LOG_DIR", str(_ROOT / "logs" / "maker_edge"))
+
+    ex = ccxt.binanceusdm(
+        {
+            "enableRateLimit": True,
+            "proxies": {"http": proxy, "https": proxy},
+            "options": {"defaultType": "future"},
+        }
+    )
+    lg = MakerEdgeLogger(log_dir=log_dir, levels=10)
+    last_mid = None
+    print(f"[ccxt-recorder] {symbol} proxy={proxy} log={log_dir}")
+    print("Ctrl+C to stop. This mode records book only (no live orders).")
+
+    while True:
+        try:
+            ob = ex.fetch_order_book(symbol, limit=10)
+            trades = ex.fetch_trades(symbol, limit=100)
+            snap = MakerEdgeLogger.snapshot_from_orderbook(
+                ob, levels=10, recent_trades=trades, last_mid=last_mid
+            )
+            if snap.mid:
+                last_mid = snap.mid
+            now = time.time()
+            lg.record_book(snap, now=now)
+            # 心跳 quote（不挂单，仅记录可报价位置）
+            if snap.best_bid:
+                lg.write(
+                    {
+                        "event": "book_tick",
+                        "pair": symbol,
+                        "inventory": 0,
+                        **snap.to_book_fields(),
+                    }
+                )
+            lg.update_paths(symbol, snap.mid or 0, now=now)
+            print(
+                f"\r mid={snap.mid:.1f} spread={snap.spread:.2f} obi={snap.obi:+.3f} "
+                f"timb={snap.trade_imbalance:+.3f} pending_fills={lg.pending_count}",
+                end="",
+                flush=True,
+            )
+        except Exception as e:
+            print(f"\nerror: {e}")
+        time.sleep(poll)
+
+
+if __name__ == "__main__":
+    main()