249aec917a
在 `binance_client` 中新增多个公开行情接口，包括深度信息、资金费率和未平仓合约数的获取，优化了 REST API 的调用逻辑。更新 `market_scanner` 以并行请求主周期和确认周期的 K线数据，提升了数据获取效率并引入超时处理。`position_manager` 中增加了从深度信息获取当前价格的逻辑，确保在多种情况下都能准确获取价格，增强了系统的稳定性和可追溯性。
264 lines
10 KiB
Python
264 lines
10 KiB
Python
"""
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K线 WebSocket 流：订阅 <symbol>@kline_<interval>，维护K线缓存。
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供 get_klines 优先使用，替代 REST 拉取，减少超时、实时更新技术指标。
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文档：推送间隔 250ms，仅推送最新一根K线的更新；x=false 表示K线未完结，x=true 表示已完结。
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"""
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import asyncio
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import json
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import logging
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import time
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from typing import Dict, List, Optional, Any, Tuple
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logger = logging.getLogger(__name__)
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# K线缓存：{ (symbol, interval): [kline1, kline2, ...] }，最多保留 limit 根
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_kline_cache: Dict[Tuple[str, str], List[List]] = {}
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_kline_cache_updated_at: Dict[Tuple[str, str], float] = {}
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_kline_cache_limit: Dict[Tuple[str, str], int] = {} # 每个 (symbol, interval) 的 limit
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def get_klines_from_cache(symbol: str, interval: str, limit: int = 50) -> Optional[List[List]]:
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"""从缓存返回K线数据（与 REST get_klines 格式兼容）。未订阅或数据不足时返回 None。"""
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key = (symbol.upper(), interval.lower())
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cached = _kline_cache.get(key)
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if not cached or len(cached) < limit:
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return None
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# 返回最后 limit 根
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return cached[-limit:]
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def is_kline_cache_fresh(symbol: str, interval: str, max_age_sec: float = 300.0) -> bool:
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"""缓存是否在 max_age_sec 秒内更新过。"""
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key = (symbol.upper(), interval.lower())
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updated = _kline_cache_updated_at.get(key, 0)
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if updated == 0:
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return False
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return (time.monotonic() - updated) <= max_age_sec
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class KlineStream:
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"""订阅合约 K线流，持续更新 _kline_cache。支持动态订阅/取消订阅。"""
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def __init__(self, testnet: bool = False):
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self.testnet = testnet
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self._ws = None
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self._task: Optional[asyncio.Task] = None
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self._running = False
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self._subscribed: Dict[Tuple[str, str], bool] = {} # (symbol, interval) -> 是否已订阅
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self._subscription_lock = asyncio.Lock()
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def _ws_base_url(self) -> str:
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if self.testnet:
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return "wss://stream.binancefuture.com"
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return "wss://fstream.binance.com"
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async def start(self) -> bool:
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global _kline_stream_instance
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if self._running:
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return True
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self._running = True
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_kline_stream_instance = self
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self._task = asyncio.create_task(self._run_ws())
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logger.info("KlineStream: 已启动（支持动态订阅）")
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return True
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async def stop(self):
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global _kline_stream_instance
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self._running = False
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_kline_stream_instance = None
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if self._task:
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self._task.cancel()
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try:
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await self._task
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except asyncio.CancelledError:
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pass
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self._task = None
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if self._ws:
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try:
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await self._ws.close()
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except Exception:
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pass
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self._ws = None
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logger.info("KlineStream: 已停止")
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async def subscribe(self, symbol: str, interval: str, limit: int = 50) -> bool:
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"""订阅指定 symbol 和 interval 的K线流（若 WS 未连接则等待连接后订阅）。"""
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symbol = symbol.upper()
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interval = interval.lower()
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key = (symbol, interval)
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async with self._subscription_lock:
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if self._subscribed.get(key):
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return True
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if not self._running:
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return False
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# 等待 WS 连接（最多等待 5 秒）
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for _ in range(50):
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if self._ws:
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break
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await asyncio.sleep(0.1)
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if not self._ws:
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return False
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stream_name = f"{symbol.lower()}@kline_{interval}"
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try:
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await self._ws.send_json({
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"method": "SUBSCRIBE",
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"params": [stream_name],
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"id": int(time.time() * 1000) % 1000000,
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})
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self._subscribed[key] = True
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_kline_cache_limit[key] = limit
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logger.debug(f"KlineStream: 已订阅 {symbol} {interval}")
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return True
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except (ConnectionResetError, OSError) as e:
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msg = str(e).lower()
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if "closing transport" in msg or "cannot write" in msg:
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logger.debug("KlineStream: 连接关闭中，订阅 %s %s 跳过（重连后将自动重试）", symbol, interval)
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else:
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logger.warning(f"KlineStream: 订阅 {symbol} {interval} 失败: {e}")
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return False
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except Exception as e:
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logger.warning(f"KlineStream: 订阅 {symbol} {interval} 失败: {e}")
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return False
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async def _run_ws(self):
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import aiohttp
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# 使用组合流，支持动态订阅
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url = f"{self._ws_base_url()}/stream"
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while self._running:
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try:
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async with aiohttp.ClientSession() as session:
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async with session.ws_connect(
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url, heartbeat=50, timeout=aiohttp.ClientTimeout(total=15)
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) as ws:
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self._ws = ws
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logger.info("KlineStream: WS 已连接（组合流，支持动态订阅）")
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async for msg in ws:
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if not self._running:
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break
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if msg.type == aiohttp.WSMsgType.TEXT:
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raw = msg.data
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# 处理订阅响应（{"result": null, "id": ...}）或K线数据
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try:
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data = json.loads(raw)
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if isinstance(data, dict) and "result" in data:
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# 订阅响应，忽略
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continue
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except Exception:
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pass
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self._handle_message(raw)
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elif msg.type in (aiohttp.WSMsgType.ERROR, aiohttp.WSMsgType.CLOSED, aiohttp.WSMsgType.CLOSE):
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break
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except asyncio.CancelledError:
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break
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except Exception as e:
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err_msg = getattr(e, "message", str(e)) or repr(e)
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err_type = type(e).__name__
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logger.warning(
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"KlineStream: WS 异常 %s: %s，10s 后重连",
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err_type, err_msg,
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exc_info=logger.isEnabledFor(logging.DEBUG),
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)
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await asyncio.sleep(10)
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self._ws = None
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# 重连时清空订阅状态，需要重新订阅
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async with self._subscription_lock:
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self._subscribed.clear()
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if not self._running:
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break
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def _handle_message(self, raw: str):
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global _kline_cache, _kline_cache_updated_at
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try:
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data = json.loads(raw)
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except Exception:
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return
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# 组合流格式：{ "stream": "btcusdt@kline_1h", "data": {...} }
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if isinstance(data, dict) and "stream" in data:
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stream = data.get("stream", "")
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kline_data = data.get("data", {})
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else:
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kline_data = data
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stream = ""
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if not isinstance(kline_data, dict) or kline_data.get("e") != "kline":
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return
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k = kline_data.get("k")
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if not isinstance(k, dict):
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return
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s = (k.get("s") or "").strip().upper()
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i = (k.get("i") or "").strip().lower()
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if not s or not i:
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return
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key = (s, i)
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if key not in self._subscribed:
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return
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# 转换为 REST 格式：[open_time, open, high, low, close, volume, close_time, quote_volume, trades, ...]
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try:
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t = int(k.get("t", 0))
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o = float(k.get("o", 0))
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h = float(k.get("h", 0))
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l = float(k.get("l", 0))
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c = float(k.get("c", 0))
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v = float(k.get("v", 0))
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T = int(k.get("T", 0))
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q = float(k.get("q", 0))
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n = int(k.get("n", 0))
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x = k.get("x", False) # 是否完结
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except (TypeError, ValueError):
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return
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kline_rest_format = [
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t, # open_time
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str(o), # open
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str(h), # high
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str(l), # low
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str(c), # close
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str(v), # volume
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T, # close_time
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str(q), # quote_volume
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n, # trades
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"0", # taker_buy_base_volume
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"0", # taker_buy_quote_volume
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"0", # ignore
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]
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# 更新缓存：若 x=true（完结），追加新K线；若 x=false（未完结），更新最后一根
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if key not in _kline_cache:
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_kline_cache[key] = []
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cache_list = _kline_cache[key]
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if x:
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# K线完结：追加新K线
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cache_list.append(kline_rest_format)
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limit = _kline_cache_limit.get(key, 50)
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if len(cache_list) > limit * 2:
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cache_list[:] = cache_list[-limit:]
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else:
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# K线未完结：更新最后一根（或追加第一根）
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if cache_list:
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cache_list[-1] = kline_rest_format
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else:
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cache_list.append(kline_rest_format)
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_kline_cache_updated_at[key] = time.monotonic()
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logger.debug(f"KlineStream: 已更新 {s} {i} (完结={x})，缓存 {len(cache_list)} 根")
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# 全局 KlineStream 实例
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_kline_stream_instance: Optional["KlineStream"] = None
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def get_kline_stream_instance() -> Optional["KlineStream"]:
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"""返回当前运行的 KlineStream 实例（未启动时为 None）。"""
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return _kline_stream_instance
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def set_kline_stream_instance(instance: Optional["KlineStream"]):
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"""设置全局 KlineStream 实例（由 main 调用）。"""
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global _kline_stream_instance
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_kline_stream_instance = instance
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