Fix Binance option top-of-book via depth limit and ticker fallback.

Co-authored-by: Cursor <cursoragent@cursor.com>

backend/app/config.py

@@ -37,6 +37,7 @@ class Settings(BaseSettings):
     binance_fapi_base: str = "https://fapi.binance.com"
     binance_eapi_base: str = "https://eapi.binance.com"
     binance_futures_ws: str = "wss://fstream.binance.com/stream"
+    # 官方默认根路径 /eoptions；组合流用 /eoptions/stream?streams=
     binance_options_ws: str = "wss://nbstream.binance.com/eoptions/stream"
     binance_http_proxy: str = ""
 

backend/app/exchange/binance/adapter.py

@@ -84,8 +84,11 @@ class BinanceExchange:
         ids = [i for i in inst_ids if i]
         for inst in ids:
             try:
-                bids, asks, ts = self.rest.fetch_books(inst, sz=5)
-                self.cache.upsert_book(inst, bids=bids, asks=asks, ts_ms=ts)
+                bids, asks, ts = self.rest.fetch_books(inst, sz=10)
+                if bids or asks:
+                    self.cache.upsert_book(inst, bids=bids, asks=asks, ts_ms=ts)
+                else:
+                    logger.warning("binance warm book empty: %s", inst)
             except Exception as e:
                 logger.warning("binance warm book %s failed: %s", inst, e)
             try:
@@ -111,7 +114,32 @@ class BinanceExchange:
     def quote(self, inst_id: str) -> Quote | None:
         return self.cache.get(inst_id)
 
+    def _refresh_quote_if_stale(self, inst_id: str) -> None:
+        if not inst_id:
+            return
+        q = self.cache.get(inst_id)
+        if q is not None and (q.bid is not None or q.ask is not None):
+            return
+        try:
+            bids, asks, ts = self.rest.fetch_books(inst_id, sz=10)
+            if bids or asks:
+                self.cache.upsert_book(inst_id, bids=bids, asks=asks, ts_ms=ts)
+        except Exception as e:
+            logger.debug("binance refresh quote %s: %s", inst_id, e)
+
     def snapshot(self, perp_inst_id: str) -> MarketSnapshot:
+        # 期权 WS 偶发无推送时，用 REST/ticker 补买卖一，避免 UI 一直是 -
+        self._refresh_quote_if_stale(perp_inst_id)
+        pair = None
+        try:
+            # BookCache 无公开 getter；从 snapshot 前先按 pair 刷新
+            with self.cache._lock:  # noqa: SLF001
+                pair = self.cache._pair
+        except Exception:
+            pair = None
+        if pair is not None:
+            self._refresh_quote_if_stale(pair.call_inst_id)
+            self._refresh_quote_if_stale(pair.put_inst_id)
         return self.cache.snapshot(perp_inst_id)
 
     def snapshot_dict(self, perp_inst_id: str) -> dict[str, Any]:

backend/app/exchange/binance/rest.py

@@ -115,22 +115,59 @@ class BinanceRestClient:
             return self.fetch_mark_option(inst_id)
         return self.fetch_mark_perp(inst_id)
 
+    def fetch_option_ticker(self, symbol: str) -> dict[str, Any] | None:
+        body = self._get_json(self._eapi, "/eapi/v1/ticker", {"symbol": symbol})
+        if isinstance(body, list) and body:
+            row = body[0]
+            return row if isinstance(row, dict) else None
+        if isinstance(body, dict):
+            return body
+        return None
+
     def fetch_books(
         self, inst_id: str, sz: int = 5
     ) -> tuple[list[BookLevel], list[BookLevel], int | None]:
         from .parse import is_option_symbol
 
-        limit = max(5, min(int(sz), 100))
         if is_option_symbol(inst_id):
-            body = self._get_json(
-                self._eapi, "/eapi/v1/depth", {"symbol": inst_id, "limit": limit}
-            )
-        else:
-            body = self._get_json(
-                self._fapi,
-                "/fapi/v1/depth",
-                {"symbol": inst_id.upper(), "limit": min(limit, 20)},
-            )
+            # 币安期权 depth 的 limit 仅支持 10/20/50/100 等，5 会失败
+            limit = 10 if int(sz) < 10 else min(int(sz), 100)
+            try:
+                body = self._get_json(
+                    self._eapi, "/eapi/v1/depth", {"symbol": inst_id, "limit": limit}
+                )
+            except Exception:
+                body = None
+            bids: list[BookLevel] = []
+            asks: list[BookLevel] = []
+            ts_ms = None
+            if isinstance(body, dict):
+                ts = safe_float(body.get("T") or body.get("E") or body.get("time"))
+                ts_ms = int(ts) if ts is not None else None
+                bids = _levels(body.get("bids") or body.get("b") or [])
+                asks = _levels(body.get("asks") or body.get("a") or [])
+            # depth 空盘时回退 ticker 买卖一
+            if not bids or not asks:
+                tick = self.fetch_option_ticker(inst_id)
+                if tick:
+                    bid = safe_float(tick.get("bidPrice") or tick.get("b"))
+                    ask = safe_float(tick.get("askPrice") or tick.get("a"))
+                    bid_sz = safe_float(tick.get("bidQty") or tick.get("B")) or 1.0
+                    ask_sz = safe_float(tick.get("askQty") or tick.get("A")) or 1.0
+                    ts = safe_float(tick.get("time") or tick.get("E") or tick.get("T"))
+                    ts_ms = int(ts) if ts is not None else ts_ms
+                    if bid is not None and bid > 0 and not bids:
+                        bids = [BookLevel(px=bid, sz=bid_sz)]
+                    if ask is not None and ask > 0 and not asks:
+                        asks = [BookLevel(px=ask, sz=ask_sz)]
+            return bids, asks, ts_ms
+
+        limit = max(5, min(int(sz), 20))
+        body = self._get_json(
+            self._fapi,
+            "/fapi/v1/depth",
+            {"symbol": inst_id.upper(), "limit": limit},
+        )
         if not isinstance(body, dict):
             return [], [], None
         ts = safe_float(body.get("T") or body.get("E") or body.get("time"))

scripts/probe_binance_options.py

@@ -0,0 +1,56 @@
+"""服务器上探测币安期权盘口（只读）。用法: python scripts/probe_binance_options.py"""
+
+from __future__ import annotations
+
+import json
+import sys
+from pathlib import Path
+
+ROOT = Path(__file__).resolve().parents[1]
+sys.path.insert(0, str(ROOT / "backend"))
+
+import httpx  # noqa: E402
+
+
+def main() -> None:
+    proxy = None
+    env = ROOT / ".env"
+    if env.exists():
+        for line in env.read_text(encoding="utf-8").splitlines():
+            if line.startswith("BINANCE_HTTP_PROXY=") or line.startswith("OKX_HTTP_PROXY="):
+                v = line.split("=", 1)[1].strip().strip('"').strip("'")
+                if v:
+                    proxy = v
+    print("proxy=", proxy)
+    kw: dict = {"timeout": 30, "trust_env": False}
+    if proxy:
+        kw["proxy"] = proxy
+    with httpx.Client(**kw) as cli:
+        info = cli.get("https://eapi.binance.com/eapi/v1/exchangeInfo")
+        print("exchangeInfo", info.status_code)
+        opts = (info.json() or {}).get("optionSymbols") or []
+        near = [
+            x
+            for x in opts
+            if str(x.get("symbol", "")).startswith("ETH-260726-1850")
+            or str(x.get("symbol", "")).startswith("ETH-250726-1850")
+        ]
+        print("near1850", [x.get("symbol") for x in near[:6]])
+        if not near:
+            near = [x for x in opts if str(x.get("symbol", "")).startswith("ETH-") ][:4]
+            print("fallback sample", [x.get("symbol") for x in near])
+        for row in near[:4]:
+            sym = row["symbol"]
+            for limit in (5, 10, 20):
+                d = cli.get(
+                    "https://eapi.binance.com/eapi/v1/depth",
+                    params={"symbol": sym, "limit": limit},
+                )
+                print(f"depth limit={limit}", sym, d.status_code, d.text[:180])
+            t = cli.get("https://eapi.binance.com/eapi/v1/ticker", params={"symbol": sym})
+            print("ticker", sym, t.status_code, t.text[:240])
+            print("---")
+
+
+if __name__ == "__main__":
+    main()