jackyu66gitandCursor
e2fbe1c2b3
Keep frozen research conclusions and code; raw ledgers and secrets stay out of git. Co-authored-by: Cursor <cursoragent@cursor.com>
84 lines
2.6 KiB
Python
84 lines
2.6 KiB
Python
#!/usr/bin/env python3
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"""
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CCXT 轻量 L2 录音机（不依赖 Nautilus）
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用途：在 Nautilus 节点未就绪时，先用代理拉 Binance USDT-M 盘口 + trades，
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写入与 Maker Edge 相同的 jsonl schema（book history + 模拟 quote 心跳）。
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用法：
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cd nautilus_mm
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source .venv/bin/activate
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export PYTHONPATH=src
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export HTTPS_PROXY=http://127.0.0.1:7897
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python scripts/record_l2_ccxt.py
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"""
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from __future__ import annotations
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import os
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import sys
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import time
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from pathlib import Path
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_ROOT = Path(__file__).resolve().parents[1]
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sys.path.insert(0, str(_ROOT / "src"))
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import ccxt # type: ignore
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from nautilus_mm.recorder import MakerEdgeLogger
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def main() -> None:
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proxy = os.getenv("HTTPS_PROXY") or os.getenv("HTTP_PROXY") or "http://127.0.0.1:7897"
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symbol = os.getenv("CCXT_SYMBOL", "BTC/USDT:USDT")
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poll = float(os.getenv("POLL_SECS", "2"))
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log_dir = os.getenv("MAKER_EDGE_LOG_DIR", str(_ROOT / "logs" / "maker_edge"))
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ex = ccxt.binanceusdm(
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{
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"enableRateLimit": True,
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"proxies": {"http": proxy, "https": proxy},
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"options": {"defaultType": "future"},
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}
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)
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lg = MakerEdgeLogger(log_dir=log_dir, levels=10)
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last_mid = None
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print(f"[ccxt-recorder] {symbol} proxy={proxy} log={log_dir}")
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print("Ctrl+C to stop. This mode records book only (no live orders).")
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while True:
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try:
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ob = ex.fetch_order_book(symbol, limit=10)
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trades = ex.fetch_trades(symbol, limit=100)
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snap = MakerEdgeLogger.snapshot_from_orderbook(
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ob, levels=10, recent_trades=trades, last_mid=last_mid
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)
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if snap.mid:
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last_mid = snap.mid
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now = time.time()
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lg.record_book(snap, now=now)
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# 心跳 quote（不挂单，仅记录可报价位置）
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if snap.best_bid:
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lg.write(
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{
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"event": "book_tick",
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"pair": symbol,
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"inventory": 0,
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**snap.to_book_fields(),
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}
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)
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lg.update_paths(symbol, snap.mid or 0, now=now)
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print(
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f"\r mid={snap.mid:.1f} spread={snap.spread:.2f} obi={snap.obi:+.3f} "
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f"timb={snap.trade_imbalance:+.3f} pending_fills={lg.pending_count}",
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end="",
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flush=True,
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)
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except Exception as e:
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print(f"\nerror: {e}")
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time.sleep(poll)
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if __name__ == "__main__":
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main()
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