mirror of
https://github.com/xavierchuan/FX-ML-Trading-Engine.git
synced 2026-07-28 02:27:43 +00:00
xiaochuan
117 lines
3.9 KiB
Python
117 lines
3.9 KiB
Python
"""
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OANDA 定价流适配器，用于从模拟/实盘账户拉取实时报价并投递 TickEvent。
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"""
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from __future__ import annotations
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import threading
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import time
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from queue import Queue
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from typing import Iterable, List, Optional, Sequence
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import pandas as pd
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from loguru import logger
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from oandapyV20 import API
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try:
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from oandapyV20.endpoints.pricing import PricingStream
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except ImportError:
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PricingStream = None
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from core.events import TickEvent
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def _normalize_instrument(symbol: str) -> str:
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s = symbol.upper().replace(" ", "").replace("/", "_").replace("-", "_")
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if "_" in s and len(s) == 7:
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return s
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stripped = s.replace("_", "")
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if len(stripped) == 6:
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return f"{stripped[:3]}_{stripped[3:]}"
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return s
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class OandaPricingStream:
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"""
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使用 OANDA Pricing Stream API 推送 TickEvent。
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"""
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def __init__(
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self,
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q: Queue,
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account_id: str,
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instruments: Sequence[str],
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access_token: str,
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environment: str = "practice",
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reconnect_wait: float = 5.0,
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log_heartbeat: bool = False,
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) -> None:
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self.q = q
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self.account_id = account_id
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self.instruments = [_normalize_instrument(sym) for sym in instruments]
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self.log_heartbeat = log_heartbeat
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self.client = API(access_token=access_token, environment=environment)
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self.reconnect_wait = reconnect_wait
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self._thread: Optional[threading.Thread] = None
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self._stop = threading.Event()
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def start(self) -> None:
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if PricingStream is None:
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raise RuntimeError(
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"oandapyV20 未暴露 PricingStream（需 0.7.2+）。请执行 `pip install --upgrade oandapyV20` 后重试。"
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)
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if self._thread and self._thread.is_alive():
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return
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self._stop.clear()
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self._thread = threading.Thread(target=self._run, daemon=True)
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self._thread.start()
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logger.info(
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f"[OANDA] Pricing stream started for {','.join(self.instruments)} (account={self.account_id})"
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)
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def stop(self) -> None:
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self._stop.set()
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if self._thread:
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self._thread.join(timeout=2.0)
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logger.info("[OANDA] Pricing stream stopped.")
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def _run(self) -> None:
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if PricingStream is None:
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logger.error("无法启动价格流：缺少 PricingStream 类")
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return
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params = {"instruments": ",".join(self.instruments)}
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while not self._stop.is_set():
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request = PricingStream(accountID=self.account_id, params=params)
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try:
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for msg in self.client.request(request):
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if self._stop.is_set():
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break
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self._handle_msg(msg)
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except Exception as exc:
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if self._stop.is_set():
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break
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logger.warning(f"[OANDA] Pricing stream error: {exc}. Reconnecting in {self.reconnect_wait}s")
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time.sleep(self.reconnect_wait)
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def _handle_msg(self, msg: dict) -> None:
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msg_type = msg.get("type")
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if msg_type == "HEARTBEAT":
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if self.log_heartbeat:
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logger.debug(f"[OANDA] Heartbeat {msg.get('time')}")
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return
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if msg_type != "PRICE":
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logger.debug(f"[OANDA] Skip message type={msg_type}")
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return
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try:
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symbol = msg["instrument"].replace("_", "")
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bids = msg.get("bids")
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asks = msg.get("asks")
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if not bids or not asks:
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return
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bid = float(bids[0]["price"])
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ask = float(asks[0]["price"])
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ts = pd.Timestamp(msg["time"]).floor("us").to_pydatetime()
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except Exception as exc:
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logger.warning(f"[OANDA] Malformed price message: {msg} ({exc})")
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return
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self.q.put(TickEvent(ts=ts, symbol=symbol, bid=bid, ask=ask))
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