Add Binance live trading, anti-stuck open/close recovery, and configurable rate limits.

OKX/Binance LIVE share half_open and option_closed_perp_pending repair paths; private REST throttles default to 1s and are tunable in settings. Co-authored-by: Cursor <cursoragent@cursor.com>
2026-07-26 21:35:10 +08:00
parent e666230d0b
commit dbc86a1ce6
23 changed files with 2381 additions and 385 deletions
@@ -0,0 +1,237 @@
+"""币安私有交易：USDT-M 永续 (fapi) + 欧洲期权 (eapi)。"""
+
+from __future__ import annotations
+
+import hashlib
+import hmac
+import logging
+import time
+from typing import Any
+from urllib.parse import urlencode
+
+import httpx
+
+from ..config import Settings, get_settings
+from ..exchange.okx.parse import safe_float
+from .okx_trade import LiveFill
+from .rate_limit import RateLimitError, get_throttle, parse_retry_after_header
+
+logger = logging.getLogger(__name__)
+
+
+class BinanceTradeClient:
+    def __init__(self, settings: Settings | None = None) -> None:
+        self.settings = settings or get_settings()
+        proxy = (self.settings.binance_http_proxy or "").strip() or None
+        headers = {
+            "Accept": "application/json",
+            "User-Agent": "eth-hedge-live/0.1",
+            "X-MBX-APIKEY": self.settings.binance_api_key or "",
+        }
+        self._fapi = httpx.Client(
+            base_url=self.settings.binance_fapi_base.rstrip("/"),
+            timeout=20.0,
+            proxy=proxy,
+            headers=headers,
+            trust_env=False,
+        )
+        self._eapi = httpx.Client(
+            base_url=self.settings.binance_eapi_base.rstrip("/"),
+            timeout=20.0,
+            proxy=proxy,
+            headers=headers,
+            trust_env=False,
+        )
+        self._hedge: bool | None = None
+        self._fapi_throttle = get_throttle("binance_fapi_trade", min_interval_sec=1.0)
+        self._eapi_throttle = get_throttle(
+            "binance_eapi_trade",
+            min_interval_sec=1.0,
+            cooldown_429_sec=20.0,
+            cooldown_418_sec=120.0,
+        )
+
+    def close(self) -> None:
+        self._fapi.close()
+        self._eapi.close()
+
+    def _sign(self, params: dict[str, Any]) -> str:
+        qs = urlencode(params, doseq=True)
+        secret = (self.settings.binance_api_secret or "").encode("utf-8")
+        return hmac.new(secret, qs.encode("utf-8"), hashlib.sha256).hexdigest()
+
+    def _throttle_for(self, client: httpx.Client):
+        if client is self._eapi:
+            return self._eapi_throttle
+        return self._fapi_throttle
+
+    def _signed(
+        self,
+        client: httpx.Client,
+        method: str,
+        path: str,
+        params: dict[str, Any] | None = None,
+    ) -> Any:
+        throttle = self._throttle_for(client)
+        throttle.before_request()
+        p = dict(params or {})
+        p["timestamp"] = int(time.time() * 1000)
+        p["signature"] = self._sign(p)
+        r = client.request(method.upper(), path, params=p)
+        if r.status_code in (418, 429):
+            ra = parse_retry_after_header(r.headers)
+            throttle.mark_http(r.status_code, ra)
+            raise RateLimitError(
+                f"Binance {path} HTTP {r.status_code}: {r.text[:200]}",
+                retry_after=throttle.remaining_cooldown(),
+            )
+        if r.status_code >= 400:
+            raise RuntimeError(f"Binance {path} HTTP {r.status_code}: {r.text[:400]}")
+        data = r.json()
+        if isinstance(data, dict) and "code" in data and "orderId" not in data:
+            code = data.get("code")
+            try:
+                code_i = int(code)
+            except (TypeError, ValueError):
+                code_i = None
+            msg = str(data.get("msg") or "")
+            # -1003 too many requests; -1015 too many orders
+            if code_i in (-1003, -1015) or "too many" in msg.lower():
+                throttle.mark_seconds(20.0)
+                raise RateLimitError(
+                    f"Binance rate-limited code={code} msg={msg}",
+                    retry_after=throttle.remaining_cooldown(),
+                )
+            if code_i is not None and code_i != 0:
+                raise RuntimeError(f"Binance error code={code} msg={msg}")
+            if code_i is None:
+                raise RuntimeError(f"Binance error code={code} msg={msg}")
+        return data
+
+    def is_hedge_mode(self) -> bool:
+        if self._hedge is not None:
+            return self._hedge
+        try:
+            data = self._signed(self._fapi, "GET", "/fapi/v1/positionSide/dual")
+            self._hedge = bool(data.get("dualSidePosition") in (True, "true", "True"))
+        except Exception as e:
+            logger.warning("binance hedge mode probe failed: %s; assume one-way", e)
+            self._hedge = False
+        return self._hedge
+
+    def place_perp_market(
+        self,
+        *,
+        symbol: str,
+        side: str,  # BUY|SELL
+        qty_eth: float,
+        position_side: str | None = None,  # LONG|SHORT|None
+        reduce_only: bool = False,
+    ) -> LiveFill:
+        # ETHUSDT 数量单位为 ETH
+        qty = f"{float(qty_eth):.3f}".rstrip("0").rstrip(".")
+        if not qty or qty == "0":
+            qty = "0.001"
+        params: dict[str, Any] = {
+            "symbol": symbol,
+            "side": side.upper(),
+            "type": "MARKET",
+            "quantity": qty,
+        }
+        hedge = self.is_hedge_mode()
+        if hedge:
+            ps = (position_side or ("LONG" if side.upper() == "BUY" else "SHORT")).upper()
+            params["positionSide"] = ps
+        elif reduce_only:
+            params["reduceOnly"] = "true"
+        data = self._signed(self._fapi, "POST", "/fapi/v1/order", params)
+        return self._fill_from_fapi(symbol, data)
+
+    def _fill_from_fapi(self, symbol: str, data: dict[str, Any]) -> LiveFill:
+        ord_id = str(data.get("orderId") or "")
+        avg = safe_float(data.get("avgPrice"))
+        sz = safe_float(data.get("executedQty"))
+        if (not avg or avg <= 0) and ord_id:
+            q = self._signed(
+                self._fapi,
+                "GET",
+                "/fapi/v1/order",
+                {"symbol": symbol, "orderId": ord_id},
+            )
+            avg = safe_float(q.get("avgPrice")) or avg
+            sz = safe_float(q.get("executedQty")) or sz
+            data = q
+        if not avg or avg <= 0:
+            raise RuntimeError(f"币安永续无成交均价: {data}")
+        # 手续费：优先 cumCommission；否则用名义×费率估
+        fee = abs(safe_float(data.get("cumCommission")) or 0.0)
+        if fee <= 0:
+            fee = float(avg) * float(sz or 0) * float(self.settings.fee_rate)
+        return LiveFill(
+            inst_id=symbol,
+            side=str(data.get("side") or "").lower(),
+            avg_px=float(avg),
+            sz=float(sz or 0),
+            fee=float(fee),
+            ord_id=ord_id,
+            raw=data if isinstance(data, dict) else {},
+        )
+
+    def place_option_market(
+        self,
+        *,
+        symbol: str,
+        side: str,  # BUY|SELL
+        quantity: float,
+        reduce_only: bool = False,
+    ) -> LiveFill:
+        qty = str(int(round(quantity)))
+        if qty == "0":
+            qty = "1"
+        params: dict[str, Any] = {
+            "symbol": symbol,
+            "side": side.upper(),
+            "type": "MARKET",
+            "quantity": qty,
+        }
+        if reduce_only:
+            params["reduceOnly"] = "true"
+        data = self._signed(self._eapi, "POST", "/eapi/v1/order", params)
+        return self._fill_from_eapi(symbol, data)
+
+    def _fill_from_eapi(self, symbol: str, data: dict[str, Any]) -> LiveFill:
+        ord_id = str(data.get("orderId") or data.get("id") or "")
+        avg = safe_float(data.get("avgPrice")) or safe_float(data.get("price"))
+        sz = safe_float(data.get("executedQty")) or safe_float(data.get("quantity"))
+        if (not avg or avg <= 0) and ord_id:
+            # 轮询几轮
+            for _ in range(8):
+                time.sleep(0.2)
+                q = self._signed(
+                    self._eapi,
+                    "GET",
+                    "/eapi/v1/order",
+                    {"symbol": symbol, "orderId": ord_id},
+                )
+                avg = safe_float(q.get("avgPrice")) or safe_float(q.get("price"))
+                sz = safe_float(q.get("executedQty")) or safe_float(q.get("quantity"))
+                st = str(q.get("status") or "").upper()
+                data = q
+                if avg and avg > 0 and st in ("FILLED", "PARTIALLY_FILLED"):
+                    break
+                if st in ("CANCELED", "REJECTED", "EXPIRED"):
+                    raise RuntimeError(f"币安期权订单失败 status={st} {q}")
+        if not avg or avg <= 0:
+            raise RuntimeError(f"币安期权无成交均价: {data}")
+        fee = abs(safe_float(data.get("fee")) or 0.0)
+        if fee <= 0:
+            fee = float(avg) * float(sz or 0) * float(self.settings.fee_rate)
+        return LiveFill(
+            inst_id=symbol,
+            side=str(data.get("side") or "").lower(),
+            avg_px=float(avg),
+            sz=float(sz or 0),
+            fee=float(fee),
+            ord_id=ord_id,
+            raw=data if isinstance(data, dict) else {},
+        )