""" 最优挂单 WebSocket 流：订阅 !bookTicker，维护全市场最优买/卖价缓存。 用于滑点估算、入场价格优化，提升交易执行效果。 支持多进程共用：Leader 写 Redis，所有进程通过 refresh_book_ticker_from_redis_loop 从 Redis 更新本地缓存。 文档：更新速度 5s，推送所有交易对的最优挂单（最高买单、最低卖单）。 """ import asyncio import json import logging import time from typing import Dict, Optional, Any logger = logging.getLogger(__name__) try: from .market_ws_leader import KEY_BOOK_TICKER except ImportError: KEY_BOOK_TICKER = "market:book_ticker" # 最优挂单缓存：symbol -> { bidPrice, bidQty, askPrice, askQty, time } _book_ticker_cache: Dict[str, Dict[str, Any]] = {} _book_ticker_updated_at: float = 0.0 def get_book_ticker_cache() -> Dict[str, Dict[str, Any]]: """返回当前最优挂单缓存。""" return dict(_book_ticker_cache) def get_book_ticker(symbol: str) -> Optional[Dict[str, Any]]: """获取指定交易对的最优挂单；无缓存时返回 None。""" return _book_ticker_cache.get(symbol.upper()) def is_book_ticker_cache_fresh(max_age_sec: float = 10.0) -> bool: """缓存是否在 max_age_sec 秒内更新过且非空。""" if not _book_ticker_cache: return False return (time.monotonic() - _book_ticker_updated_at) <= max_age_sec def estimate_slippage(symbol: str, side: str, quantity: float) -> Optional[float]: """ 估算滑点（USDT）：基于最优挂单估算执行价格与标记价格的偏差。 Args: symbol: 交易对 side: BUY/SELL quantity: 下单数量 Returns: 估算滑点（USDT），None 表示无法估算 """ ticker = get_book_ticker(symbol) if not ticker: return None try: bid_price = float(ticker.get("bidPrice", 0)) ask_price = float(ticker.get("askPrice", 0)) bid_qty = float(ticker.get("bidQty", 0)) ask_qty = float(ticker.get("askQty", 0)) if bid_price <= 0 or ask_price <= 0: return None mid_price = (bid_price + ask_price) / 2 if side == "BUY": # 买单：用 askPrice（卖一）估算，滑点 = (askPrice - midPrice) * quantity if ask_qty >= quantity: slippage = (ask_price - mid_price) * quantity else: # 数量超过卖一，需要吃多档，粗略估算 slippage = (ask_price - mid_price) * quantity * 1.2 else: # SELL # 卖单：用 bidPrice（买一）估算，滑点 = (midPrice - bidPrice) * quantity if bid_qty >= quantity: slippage = (mid_price - bid_price) * quantity else: slippage = (mid_price - bid_price) * quantity * 1.2 return slippage except Exception: return None class BookTickerStream: """订阅合约 !bookTicker，持续更新 _book_ticker_cache。Leader 时可选写 Redis 供多进程读。""" def __init__(self, testnet: bool = False, redis_cache: Any = None): self.testnet = testnet self._redis_cache = redis_cache self._ws = None self._task: Optional[asyncio.Task] = None self._running = False def _ws_url(self) -> str: if self.testnet: return "wss://stream.binancefuture.com/ws/!bookTicker" return "wss://fstream.binance.com/ws/!bookTicker" async def start(self) -> bool: if self._running: return True self._running = True self._task = asyncio.create_task(self._run_ws()) logger.info("BookTickerStream: 已启动（!bookTicker），用于滑点估算") return True async def stop(self): self._running = False if self._task: self._task.cancel() try: await self._task except asyncio.CancelledError: pass self._task = None if self._ws: try: await self._ws.close() except Exception: pass self._ws = None logger.info("BookTickerStream: 已停止") async def _run_ws(self): import aiohttp while self._running: url = self._ws_url() try: async with aiohttp.ClientSession() as session: async with session.ws_connect( url, heartbeat=50, timeout=aiohttp.ClientTimeout(total=15) ) as ws: self._ws = ws logger.info("BookTickerStream: WS 已连接") async for msg in ws: if not self._running: break if msg.type == aiohttp.WSMsgType.TEXT: self._handle_message(msg.data) elif msg.type in (aiohttp.WSMsgType.ERROR, aiohttp.WSMsgType.CLOSED, aiohttp.WSMsgType.CLOSE): break except asyncio.CancelledError: break except Exception as e: err_msg = getattr(e, "message", str(e)) or repr(e) err_type = type(e).__name__ logger.warning( "BookTickerStream: WS 异常 %s: %s，10s 后重连", err_type, err_msg, exc_info=logger.isEnabledFor(logging.DEBUG), ) await asyncio.sleep(10) self._ws = None if not self._running: break def _handle_message(self, raw: str): global _book_ticker_cache, _book_ticker_updated_at try: data = json.loads(raw) except Exception: return # 可能是单条对象或组合流格式 if isinstance(data, dict) and "stream" in data: ticker_data = data.get("data", {}) else: ticker_data = data if not isinstance(ticker_data, dict) or ticker_data.get("e") != "bookTicker": return s = (ticker_data.get("s") or "").strip().upper() if not s or not s.endswith("USDT"): return try: _book_ticker_cache[s] = { "symbol": s, "bidPrice": float(ticker_data.get("b", 0)), "bidQty": float(ticker_data.get("B", 0)), "askPrice": float(ticker_data.get("a", 0)), "askQty": float(ticker_data.get("A", 0)), "time": int(ticker_data.get("T", 0)), } except (TypeError, ValueError): return _book_ticker_updated_at = time.monotonic() logger.debug(f"BookTickerStream: 已更新 {s} bid={_book_ticker_cache[s]['bidPrice']:.4f} ask={_book_ticker_cache[s]['askPrice']:.4f}") if self._redis_cache: try: loop = asyncio.get_event_loop() copy = dict(_book_ticker_cache) loop.create_task(self._write_book_ticker_to_redis(copy)) except Exception as e: logger.debug("BookTickerStream: 写入 Redis 调度失败 %s", e) async def _write_book_ticker_to_redis(self, data: Dict[str, Dict[str, Any]]) -> None: try: if self._redis_cache: await self._redis_cache.set(KEY_BOOK_TICKER, data, ttl=30) except Exception as e: logger.debug("BookTickerStream: 写入 Redis 失败 %s", e) async def refresh_book_ticker_from_redis_loop(redis_cache: Any, interval_sec: float = 2.0) -> None: """非 Leader 或共用模式：定期从 Redis 拉取 bookTicker 到本地缓存。所有进程可调用。""" global _book_ticker_cache, _book_ticker_updated_at if redis_cache is None: return while True: try: await asyncio.sleep(interval_sec) data = await redis_cache.get(KEY_BOOK_TICKER) if data and isinstance(data, dict): _book_ticker_cache.update(data) _book_ticker_updated_at = time.monotonic() logger.debug("BookTicker: 从 Redis 刷新 %s 个交易对", len(data)) except asyncio.CancelledError: break except Exception as e: logger.debug("BookTicker: 从 Redis 刷新失败 %s", e)