43e993034f
在 `binance_client`、`kline_stream`、`book_ticker_stream` 和 `ticker_24h_stream` 中引入 Redis 缓存支持，允许 Leader 进程写入数据，其他进程从 Redis 读取，提升数据获取效率。更新了相关逻辑以确保在多进程环境下的稳定性和一致性，同时增强了异常处理和日志记录，确保系统的可追溯性。
222 lines
8.3 KiB
Python
222 lines
8.3 KiB
Python
"""
|
||
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)
|