import aiohttp import time import asyncio import zlib import json, ujson import zlib import hashlib import hmac import base64 import traceback import random, csv, sys import logging, logging.handlers import utils import model def empty_call(msg): pass def inflate(data): ''' 解压缩数据 ''' decompress = zlib.decompressobj(-zlib.MAX_WBITS) inflated = decompress.decompress(data) inflated += decompress.flush() return inflated class BinanceCoinSwapWs: def __init__(self, params: model.ClientParams, colo=0, is_print=0): if colo: print('不支持colo高速线路') self.URL = 'wss://dstream.binance.com/ws/' else: self.URL = 'wss://dstream.binance.com/ws/' self.params = params self.name = self.params.name self.base = self.params.pair.split('_')[0].upper() self.quote = self.params.pair.split('_')[1].upper() self.symbol = self.base + self.quote if len(self.params.pair.split('_')) > 2: self.delivery = self.params.pair.split('_')[2] # 210924 self.symbol += f"_{self.delivery}" else: self.symbol += '_PERP' self.callback = { "onMarket":self.save_market, "onPosition":empty_call, "onEquity":empty_call, "onOrder":empty_call, "onTicker":empty_call, "onDepth":empty_call, "onExit":empty_call, } self.is_print = is_print self.proxy = None if 'win' in sys.platform: self.proxy = self.params.proxy self.logger = self.get_logger() self.multiplier = None self.stop_flag = 0 self.max_buy = 0.0 self.min_sell = 0.0 self.buy_v = 0.0 self.buy_q = 0.0 self.sell_v = 0.0 self.sell_q = 0.0 self.ticker_info = {"name":self.name,'bp':0.0,'ap':0.0} self.depth = [] #### 指定发包ip iplist = utils.get_local_ip_list() self.ip = iplist[int(self.params.ip)] def get_logger(self): logger = logging.getLogger(__name__) logger.setLevel(logging.DEBUG) # log to txt formatter = logging.Formatter('[%(asctime)s] - %(levelname)s - %(message)s') handler = logging.handlers.RotatingFileHandler(f"log.log",maxBytes=1024*1024) handler.setLevel(logging.DEBUG) handler.setFormatter(formatter) logger.addHandler(handler) return logger def save_market(self, msg): date = time.strftime('%Y-%m-%d',time.localtime()) interval = self.params.interval if msg: exchange = msg['name'] if len(msg['data']) > 1: with open(f'./history/{exchange}_{self.symbol}_{interval}_{date}.csv', 'a', newline='', encoding='utf-8') as f: writer = csv.writer(f, delimiter=',') writer.writerow(msg['data']) if self.is_print:print(f'写入行情 {self.symbol}') async def get_sign(self): headers = {} headers['Content-Type'] = 'application/json' headers['X-MBX-APIKEY'] = self.params.access_key params = { 'timestamp':int(time.time())*1000, 'recvWindow':5000, } query_string = "&".join(["{}={}".format(k, params[k]) for k in sorted(params.keys())]) signature = hmac.new(self.params.secret_key.encode(), msg=query_string.encode(), digestmod=hashlib.sha256).hexdigest() params['signature']=signature url = 'https://dapi.binance.com/dapi/v1/listenKey' session = aiohttp.ClientSession() response = await session.post( url, params=params, headers=headers, timeout=5, proxy=self.proxy ) login_str = await response.text() await session.close() return ujson.loads(login_str)['listenKey'] async def get_depth_flash(self): headers = {} headers['Content-Type'] = 'application/json' headers['X-MBX-APIKEY'] = self.params.access_key url = f'https://dapi.binance.com/dapi/v1/depth?symbol={self.symbol}&limit=1000' session = aiohttp.ClientSession() response = await session.get( url, headers=headers, timeout=5, proxy=self.proxy ) depth_flash = await response.text() await session.close() return ujson.loads(depth_flash) def _update_ticker(self, msg): msg = ujson.loads(msg) bp = float(msg['b']) bq = float(msg['B']) ap = float(msg['a']) aq = float(msg['A']) self.ticker_info['bp'] = bp self.ticker_info['ap'] = ap self.callback['onTicker'](self.ticker_info) #### 标准化深度 self.depth = [bp,bq,ap,aq] self.callback['onDepth']({'name':self.name,'data':self.depth}) def _update_depth(self, msg): msg = ujson.loads(msg) ##### on ticker event self.ticker_info['bp'] = float(msg['b'][0][0]) self.ticker_info['ap'] = float(msg['a'][0][0]) self.callback['onTicker'](self.ticker_info) ##### 标准化深度 mp = (self.ticker_info["bp"] + self.ticker_info["ap"])*0.5 step = mp * utils.EFF_RANGE / utils.LEVEL bp = [] ap = [] bv = [0 for _ in range(utils.LEVEL)] av = [0 for _ in range(utils.LEVEL)] for i in range(utils.LEVEL): bp.append(self.ticker_info["bp"]-step*i) for i in range(utils.LEVEL): ap.append(self.ticker_info["ap"]+step*i) # price_thre = self.ticker_info["bp"] - step index = 0 for bid in msg['b']: price = float(bid[0]) amount = float(bid[1]) if price > price_thre: bv[index] += amount else: price_thre -= step index += 1 if index == utils.LEVEL: break bv[index] += amount price_thre = self.ticker_info["ap"] + step index = 0 for ask in msg['a']: price = float(ask[0]) amount = float(ask[1]) if price < price_thre: av[index] += amount else: price_thre += step index += 1 if index == utils.LEVEL: break av[index] += amount self.depth = bp + bv + ap + av self.callback['onDepth']({'name':self.name,'data':self.depth}) def _update_trade(self, msg): msg = ujson.loads(msg) side = 'sell' if msg['m'] else 'buy' price = float(msg['p']) amount = float(msg['q']) if price > self.max_buy or self.max_buy == 0.0: self.max_buy = price if price < self.min_sell or self.min_sell == 0.0: self.min_sell = price if side == 'buy': self.buy_q += amount self.buy_v += amount*price elif side == 'sell': self.sell_q += amount self.sell_v += amount*price def _update_account(self, msg): msg = ujson.loads(msg) for i in msg['a']['B']: if i['a'].lower() == self.base.lower(): self.callback['onEquity']({self.quote:float(i['wb'])}) def _update_order(self, msg): msg = ujson.loads(msg) i = msg['o'] if i['s'] == self.symbol: if i['X'] == 'NEW': # 新增订单 pass if i['X'] == 'FILLED': # 删除订单 self.callback['onOrder']({"deleteOrder":i['i']}) if i['X'] == 'CANCELED': # 删除订单 self.callback['onOrder']({"deleteOrder":i['i']}) def _update_position(self, msg): long_pos, short_pos = 0, 0 long_avg, short_avg = 0, 0 msg = ujson.loads(msg) for i in msg['a']['P']: if i['s'] == self.symbol: if i['ps'] == 'LONG': long_pos += abs(float(i['pa'])) long_avg = abs(float(i['ep'])) if i['ps'] == 'SHORT': short_pos += abs(float(i['pa'])) short_avg = abs(float(i['ep'])) pos = model.Position() pos.longPos = long_pos pos.shortPos = short_pos pos.longAvg = long_avg pos.shortAvg = short_avg self.callback['onPosition'](pos) def _get_data(self): market_data = self.depth + [self.max_buy, self.min_sell] self.max_buy = 0 self.min_sell = 0 self.buy_v = 0.0 self.buy_q = 0.0 self.sell_v = 0.0 self.sell_q = 0.0 return {'name': self.name,'data':market_data} async def go(self): interval = float(self.params.interval) if self.is_print:print(f'Ws循环器启动 interval {interval}') ### onTrade while 1: try: # 更新市场信息 market_data = self._get_data() self.callback['onMarket'](market_data) except: traceback.print_exc() await asyncio.sleep(interval) async def before_trade(self): session = aiohttp.ClientSession() response = await session.get( "https://dapi.binance.com/dapi/v1/exchangeInfo", proxy=self.proxy ) response = await response.json() for i in response['symbols']: if self.symbol in i['symbol'].upper(): self.multiplier = float(i['contractSize']) async def run(self, is_auth=0, sub_trade=0, sub_fast=0): session = aiohttp.ClientSession() while True: try: # 尝试连接 print(f'{self.name} 尝试连接ws') # 登陆 if is_auth: listenKey = await self.get_sign() else: listenKey = 'qqlh' # 更新 await self.before_trade() async with session.ws_connect( self.URL+listenKey, proxy=self.proxy, timeout=30, receive_timeout=30, ) as _ws: print(f'{self.name} ws连接成功') self.logger.info(f'{self.name} ws连接成功') # 订阅 symbol = self.symbol.lower() if sub_fast: channels=[f"{symbol}@bookTicker",] else: channels=[f"{symbol}@depth20@100ms",] if sub_trade: channels.append(f"{symbol}@aggTrade") sub_str = ujson.dumps({"method": "SUBSCRIBE", "params": channels, "id":random.randint(1,1000)}) await _ws.send_str(sub_str) while True: # 停机信号 if self.stop_flag:return # 接受消息 try: msg = await _ws.receive(timeout=30) except: print(f'{self.name} ws长时间没有收到消息 准备重连...') self.logger.error(f'{self.name} ws长时间没有收到消息 准备重连...') break msg = msg.data # 处理消息 if 'depthUpdate' in msg:self._update_depth(msg) elif 'aggTrade' in msg:self._update_trade(msg) elif 'bookTicker' in msg:self._update_ticker(msg) elif 'ACCOUNT_UPDATE' in msg:self._update_position(msg) elif 'ACCOUNT_UPDATE' in msg:self._update_account(msg) elif 'ORDER_TRADE_UPDATE' in msg:self._update_order(msg) elif 'ping' in msg:await _ws.send_str('pong') elif 'listenKeyExpired' in msg:raise Exception('key过期重连') except: _ws = None traceback.print_exc() print(f'{self.name} ws连接失败 开始重连...') self.logger.error(f'{self.name} ws连接失败 开始重连...')