dekun
336 lines
12 KiB
Python
336 lines
12 KiB
Python
"""币安只读 REST：USDT 永续 (fapi) + 欧洲期权 (eapi)。含节流与 429/418 退避。"""
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from __future__ import annotations
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import json
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import logging
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import threading
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import time
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from pathlib import Path
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from typing import Any
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import httpx
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from ..types import BookLevel
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from .parse import rows_to_option_contracts, safe_float
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logger = logging.getLogger(__name__)
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_BOOK_TTL_SEC = 3.0
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_CONTRACTS_TTL_SEC = 180.0
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_MIN_EAPI_INTERVAL_SEC = 0.25
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_DEFAULT_429_COOLDOWN_SEC = 15.0
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_DEFAULT_418_COOLDOWN_SEC = 120.0
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class EapiCooldownError(RuntimeError):
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"""eapi 限流/封禁冷却中。"""
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class BinanceRestClient:
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def __init__(
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self,
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*,
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fapi_base: str = "https://fapi.binance.com",
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eapi_base: str = "https://eapi.binance.com",
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timeout: float = 15.0,
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proxy: str | None = None,
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cache_dir: str | Path | None = None,
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) -> None:
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self.fapi_base = fapi_base.rstrip("/")
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self.eapi_base = eapi_base.rstrip("/")
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self.proxy = (proxy or "").strip() or None
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headers = {"Accept": "application/json", "User-Agent": "eth-hedge-sim/0.3"}
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self._fapi = httpx.Client(
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base_url=self.fapi_base,
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timeout=timeout,
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proxy=self.proxy,
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headers=headers,
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trust_env=False,
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)
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self._eapi = httpx.Client(
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base_url=self.eapi_base,
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timeout=timeout,
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proxy=self.proxy,
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headers=headers,
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trust_env=False,
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)
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self._exchange_info: dict[str, Any] | None = None
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self._lock = threading.Lock()
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self._eapi_cool_until = 0.0
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self._eapi_last_at = 0.0
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self._book_ttl: dict[str, tuple[list[BookLevel], list[BookLevel], int | None, float]] = {}
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self._contracts_ttl: dict[str, tuple[float, list[dict[str, Any]]]] = {}
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root = Path(cache_dir) if cache_dir else Path(__file__).resolve().parents[3] / "data"
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root.mkdir(parents=True, exist_ok=True)
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self._exchange_info_path = root / "binance_eapi_exchangeInfo.json"
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def close(self) -> None:
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self._fapi.close()
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self._eapi.close()
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def _eapi_cooling(self) -> bool:
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return time.monotonic() < self._eapi_cool_until
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def _mark_eapi_ban(self, status_code: int, retry_after: float | None = None) -> None:
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if status_code == 418:
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wait = _DEFAULT_418_COOLDOWN_SEC
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else:
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wait = float(retry_after) if retry_after and retry_after > 0 else _DEFAULT_429_COOLDOWN_SEC
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wait = max(wait, _DEFAULT_429_COOLDOWN_SEC)
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self._eapi_cool_until = time.monotonic() + wait
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logger.warning("binance eapi HTTP %s, cooldown %.0fs", status_code, wait)
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def _throttle_eapi(self) -> None:
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now = time.monotonic()
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if now < self._eapi_cool_until:
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raise EapiCooldownError(
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f"eapi cooldown {self._eapi_cool_until - now:.1f}s left"
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)
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gap = now - self._eapi_last_at
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if gap < _MIN_EAPI_INTERVAL_SEC:
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time.sleep(_MIN_EAPI_INTERVAL_SEC - gap)
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self._eapi_last_at = time.monotonic()
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def _get_json(
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self,
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client: httpx.Client,
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path: str,
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params: dict[str, Any] | None = None,
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*,
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is_eapi: bool = False,
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) -> Any:
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with self._lock:
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if is_eapi:
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self._throttle_eapi()
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r = client.get(path, params=params or {})
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if r.status_code in (418, 429):
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if is_eapi:
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ra = safe_float(r.headers.get("Retry-After"))
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self._mark_eapi_ban(r.status_code, ra)
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r.raise_for_status()
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r.raise_for_status()
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return r.json()
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def _load_exchange_info_disk(self) -> dict[str, Any] | None:
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try:
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if not self._exchange_info_path.is_file():
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return None
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body = json.loads(self._exchange_info_path.read_text(encoding="utf-8"))
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return body if isinstance(body, dict) else None
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except Exception:
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return None
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def _save_exchange_info_disk(self, body: dict[str, Any]) -> None:
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try:
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self._exchange_info_path.write_text(
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json.dumps(body, ensure_ascii=False), encoding="utf-8"
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)
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except Exception as e:
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logger.debug("save exchangeInfo cache failed: %s", e)
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def fetch_option_exchange_info(self) -> dict[str, Any]:
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if self._exchange_info is not None:
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return self._exchange_info
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try:
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body = self._get_json(self._eapi, "/eapi/v1/exchangeInfo", is_eapi=True)
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if isinstance(body, dict) and body:
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self._exchange_info = body
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self._save_exchange_info_disk(body)
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return body
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except Exception as e:
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logger.warning("binance exchangeInfo fetch failed: %s", e)
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disk = self._load_exchange_info_disk()
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if disk:
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logger.warning("binance exchangeInfo using disk cache")
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self._exchange_info = disk
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return disk
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self._exchange_info = {}
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return self._exchange_info
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def fetch_option_instruments(self, underlying: str) -> list[dict[str, Any]]:
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"""underlying 如 ETH / ETHUSDT。误传 OKX family（ETH-USD_UM）时映射到 ETHUSDT。"""
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info = self.fetch_option_exchange_info()
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rows = info.get("optionSymbols") or info.get("symbols") or []
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want = (underlying or "ETHUSDT").strip().upper()
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if "USD_UM" in want or want in ("ETH-USD", "ETH-USDT", "ETHUSD"):
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want = "ETHUSDT"
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eth_mode = want in ("ETH", "ETHUSDT") or (
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want.startswith("ETH") and "-" not in want
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)
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out: list[dict[str, Any]] = []
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for row in rows:
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if not isinstance(row, dict):
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continue
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u = str(row.get("underlying") or row.get("underlyingAsset") or "").upper()
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sym = str(row.get("symbol") or "").upper()
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if eth_mode:
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if sym.startswith("ETH-") and u.startswith("ETH"):
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out.append(row)
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continue
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base = want.replace("USDT", "") if want.endswith("USDT") else want
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if u == want or u == base or sym.startswith(f"{base}-"):
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out.append(row)
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return out
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def list_option_contracts(self, family: str) -> list[dict[str, Any]]:
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key = (family or "").strip().upper() or "ETHUSDT"
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now = time.monotonic()
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hit = self._contracts_ttl.get(key)
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if hit and now - hit[0] < _CONTRACTS_TTL_SEC:
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return hit[1]
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contracts = rows_to_option_contracts(self.fetch_option_instruments(family))
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if contracts:
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self._contracts_ttl[key] = (now, contracts)
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return contracts
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def fetch_index(self, underlying: str) -> float | None:
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"""期权指数：underlying=ETHUSDT。"""
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u = (underlying or "ETHUSDT").strip().upper()
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if not u.endswith("USDT") and u.isalpha():
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u = f"{u}USDT"
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try:
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body = self._get_json(
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self._eapi, "/eapi/v1/index", {"underlying": u}, is_eapi=True
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)
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if isinstance(body, dict):
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px = safe_float(body.get("indexPrice") or body.get("price"))
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if px:
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return px
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except Exception:
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pass
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return self.fetch_mark_perp(u if u.endswith("USDT") else "ETHUSDT")
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def fetch_mark_perp(self, symbol: str) -> float | None:
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body = self._get_json(
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self._fapi,
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"/fapi/v1/premiumIndex",
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{"symbol": (symbol or "ETHUSDT").upper()},
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is_eapi=False,
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)
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if isinstance(body, dict):
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return safe_float(body.get("markPrice")) or safe_float(body.get("indexPrice"))
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return None
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def fetch_mark_option(self, symbol: str) -> float | None:
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try:
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body = self._get_json(
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self._eapi, "/eapi/v1/mark", {"symbol": symbol}, is_eapi=True
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)
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except Exception:
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return None
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if isinstance(body, list) and body:
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return safe_float(body[0].get("markPrice"))
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if isinstance(body, dict):
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return safe_float(body.get("markPrice"))
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return None
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def fetch_mark(self, inst_id: str) -> float | None:
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from .parse import is_option_symbol
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if is_option_symbol(inst_id):
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return self.fetch_mark_option(inst_id)
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return self.fetch_mark_perp(inst_id)
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def fetch_option_ticker(self, symbol: str) -> dict[str, Any] | None:
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try:
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body = self._get_json(
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self._eapi, "/eapi/v1/ticker", {"symbol": symbol}, is_eapi=True
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)
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except Exception:
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return None
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if isinstance(body, list) and body:
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row = body[0]
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return row if isinstance(row, dict) else None
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if isinstance(body, dict):
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return body
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return None
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def fetch_books(
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self, inst_id: str, sz: int = 5
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) -> tuple[list[BookLevel], list[BookLevel], int | None]:
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"""期权路径永不向外抛限流异常；失败返回缓存或空盘。"""
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from .parse import is_option_symbol
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if is_option_symbol(inst_id):
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now = time.monotonic()
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cached = self._book_ttl.get(inst_id)
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if cached and now - cached[3] < _BOOK_TTL_SEC:
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return cached[0], cached[1], cached[2]
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if self._eapi_cooling():
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if cached:
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return cached[0], cached[1], cached[2]
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return [], [], None
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limit = 10 if int(sz) < 10 else min(int(sz), 100)
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bids: list[BookLevel] = []
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asks: list[BookLevel] = []
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ts_ms = None
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try:
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body = self._get_json(
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self._eapi,
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"/eapi/v1/depth",
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{"symbol": inst_id, "limit": limit},
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is_eapi=True,
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)
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if isinstance(body, dict):
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ts = safe_float(body.get("T") or body.get("E") or body.get("time"))
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ts_ms = int(ts) if ts is not None else None
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bids = _levels(body.get("bids") or body.get("b") or [])
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asks = _levels(body.get("asks") or body.get("a") or [])
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except Exception as e:
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logger.debug("binance option depth %s: %s", inst_id, e)
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if cached:
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return cached[0], cached[1], cached[2]
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# 冷却中不要再打 ticker
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if self._eapi_cooling():
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return [], [], None
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if (not bids or not asks) and not self._eapi_cooling():
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tick = self.fetch_option_ticker(inst_id)
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if tick:
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bid = safe_float(tick.get("bidPrice") or tick.get("b"))
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ask = safe_float(tick.get("askPrice") or tick.get("a"))
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bid_sz = safe_float(tick.get("bidQty") or tick.get("B")) or 1.0
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ask_sz = safe_float(tick.get("askQty") or tick.get("A")) or 1.0
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ts = safe_float(tick.get("time") or tick.get("E") or tick.get("T"))
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ts_ms = int(ts) if ts is not None else ts_ms
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if bid is not None and bid > 0 and not bids:
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bids = [BookLevel(px=bid, sz=bid_sz)]
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if ask is not None and ask > 0 and not asks:
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asks = [BookLevel(px=ask, sz=ask_sz)]
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if bids or asks:
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self._book_ttl[inst_id] = (bids, asks, ts_ms, time.monotonic())
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return bids, asks, ts_ms
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limit = max(5, min(int(sz), 20))
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body = self._get_json(
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self._fapi,
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"/fapi/v1/depth",
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{"symbol": inst_id.upper(), "limit": limit},
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is_eapi=False,
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)
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if not isinstance(body, dict):
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return [], [], None
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ts = safe_float(body.get("T") or body.get("E") or body.get("time"))
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ts_ms = int(ts) if ts is not None else None
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return (
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_levels(body.get("bids") or []),
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_levels(body.get("asks") or []),
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ts_ms,
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)
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def _levels(raw: list[Any]) -> list[BookLevel]:
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out: list[BookLevel] = []
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for item in raw:
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if not isinstance(item, (list, tuple)) or len(item) < 2:
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continue
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px = safe_float(item[0])
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sz = safe_float(item[1])
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if px is None or sz is None or px <= 0 or sz <= 0:
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continue
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out.append(BookLevel(px=px, sz=sz))
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return out
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