dekun
193 lines
7.5 KiB
Python
193 lines
7.5 KiB
Python
"""币安只读 REST：USDT 永续 (fapi) + 欧洲期权 (eapi)。"""
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from __future__ import annotations
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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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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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) -> 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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def close(self) -> None:
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self._fapi.close()
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self._eapi.close()
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def _get_json(self, client: httpx.Client, path: str, params: dict[str, Any] | None = None) -> Any:
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r = client.get(path, params=params or {})
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r.raise_for_status()
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return r.json()
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def fetch_option_exchange_info(self) -> dict[str, Any]:
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if self._exchange_info is None:
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body = self._get_json(self._eapi, "/eapi/v1/exchangeInfo")
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self._exchange_info = body if isinstance(body, dict) else {}
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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。"""
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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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eth_mode = want in ("ETH", "ETHUSDT") or want.startswith("ETH")
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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-") or 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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return rows_to_option_contracts(self.fetch_option_instruments(family))
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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(self._eapi, "/eapi/v1/index", {"underlying": u})
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if isinstance(body, dict):
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return safe_float(body.get("indexPrice") or body.get("price"))
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except Exception:
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pass
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# 回退永续标记
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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, "/fapi/v1/premiumIndex", {"symbol": (symbol or "ETHUSDT").upper()}
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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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body = self._get_json(self._eapi, "/eapi/v1/mark", {"symbol": symbol})
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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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body = self._get_json(self._eapi, "/eapi/v1/ticker", {"symbol": symbol})
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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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from .parse import is_option_symbol
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if is_option_symbol(inst_id):
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# 币安期权 depth 的 limit 仅支持 10/20/50/100 等，5 会失败
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limit = 10 if int(sz) < 10 else min(int(sz), 100)
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try:
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body = self._get_json(
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self._eapi, "/eapi/v1/depth", {"symbol": inst_id, "limit": limit}
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)
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except Exception:
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body = None
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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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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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# depth 空盘时回退 ticker 买卖一
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if not bids or not asks:
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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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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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)
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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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