py-as-zhong/exchange/binance_usdt_swap_ws.py

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, utils
import logging, logging.handlers
import model

def empty_call(msg):
    pass

def timeit(func):
    def wrapper(*args, **kwargs):
        nowTime = time.time()
        res = func(*args, **kwargs)
        spend_time = time.time() - nowTime
        spend_time = round(spend_time * 1000, 5)
        print(f'{func.__name__} 耗时 {spend_time} ms')
        return res
    return wrapper


def inflate(data):
    '''
        解压缩数据
    '''
    decompress = zlib.decompressobj(-zlib.MAX_WBITS)
    inflated = decompress.decompress(data)
    inflated += decompress.flush()
    return inflated

class BinanceUsdtSwapWs:

    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://fstream.binance.com/ws/'
        else:
            self.URL = 'wss://fstream.binance.com/ws/'
        self.params = params
        self.name = self.params.name
        self.base = params.pair.split('_')[0].upper()
        self.quote = 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}" 
        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.ticker_info = {"name":self.name,'bp':0.0,'ap':0.0}
        self.stop_flag = 0
        self.public_update_time = time.time()
        self.private_update_time = time.time()
        self.expired_time = 300
        ### 更新id
        self.update_flag_u = 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.depth = []
        ####
        self.depth_update = []
        self.need_flash = 1
        self.lastUpdateId = None # 就是小写u
        self.depth_full = dict()
        self.depth_full['bids'] = dict()
        self.depth_full['asks'] = dict()
        self.decimal = 99
        #### 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://fapi.binance.com/fapi/v1/listenKey'
        session = aiohttp.ClientSession()
        response = await session.post(
            url, 
            params=params,
            headers=headers, 
            timeout=5, 
            proxy=self.proxy
            )
        self.logger.debug("申请key")
        login_str = await response.text()
        print(login_str)
        self.logger.debug(login_str)
        await session.close()
        try:
            return ujson.loads(login_str)['listenKey']
        except:
            self.logger.error('登录失败')
            return 'qqlh'

    async def long_key(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://fapi.binance.com/fapi/v1/listenKey'
        session = aiohttp.ClientSession()
        response = await session.put(
            url, 
            params=params,
            headers=headers, 
            timeout=5, 
            proxy=self.proxy
            )
        self.logger.debug("续期key")
        login_str = await response.text()
        self.logger.debug(login_str)
        await session.close()
        return ujson.loads(login_str)

    def _check_update_u(self, id):
        if id > self.update_flag_u:
            self.update_flag_u = id
            return 0
        else:
            return 1

    def _update_ticker(self, msg):
        self.public_update_time = time.time()
        msg = ujson.loads(msg)
        if self._check_update_u(msg['u']):
            return
        else:
            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})

    # @timeit
    def _update_depth20(self, msg):
        self.public_update_time = time.time()
        msg = ujson.loads(msg)
        if self._check_update_u(msg['u']):
            return
        else:
            # 更新ticker信息但不触发
            self.ticker_info["bp"] = float(msg['b'][0][0])
            self.ticker_info["ap"] = float(msg['a'][0][0])
            self.callback['onTicker'](self.ticker_info)
            if self.decimal == 99:self.decimal = utils.num_to_decimal(msg['b'][0][0])
            ##### 标准化深度
            mp = (self.ticker_info["bp"] + self.ticker_info["ap"])*0.5
            step = round(mp * utils.EFF_RANGE / utils.LEVEL, self.decimal)
            bp = []
            ap = []
            bv = [0 for _ in range(utils.LEVEL)]
            av = [0 for _ in range(utils.LEVEL)]
            for i in range(utils.LEVEL):
                bp.append(round(self.ticker_info["bp"]-step*i, self.decimal))
            for i in range(utils.LEVEL):
                ap.append(round(self.ticker_info["ap"]+step*i, self.decimal))
            ###############################################
            price_thre = self.ticker_info["bp"] - step
            index = 0
            for i in msg['b']:
                price = float(i[0])
                amount = float(i[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 i in msg['a']:
                price = float(i[0])
                amount = float(i[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})

    # @timeit
    def _update_depth(self, msg):
        self.public_update_time = time.time()
        msg = ujson.loads(msg)
        self.depth_update.append(msg)
        ### 检查是否有遗漏
        for i in range(1,len(self.depth_update)):
            if self.depth_update[i]['pu'] != self.depth_update[i]['u']:
                self.need_flash = 1
                self.logger.error('发现遗漏增量深度推送 重置绝对深度')
                return
        # print(len(self.depth_update))
        if self.need_flash == 0: # 可以更新深度
            for i in self.depth_update[:]:
                u = i['u']
                U = i['U']
                pu = i['pu']
                # print(f'处理 {u}')
                if u < self.lastUpdateId: # 丢弃过旧的信息
                    self.depth_update.remove(i)
                else:
                    if u >= self.lastUpdateId: # 后续更新本地副本
                        # print(f'符合要求 {u}')
                        # 开始更新深度
                        for j in i['b']:
                            price = float(j[0])
                            amount = float(j[1])
                            if amount > 0:
                                self.depth_full['bids'][price] = amount 
                            else:
                                if price in self.depth_full['bids']:del(self.depth_full['bids'][price])
                        for j in i['a']:
                            price = float(j[0])
                            amount = float(j[1])
                            if amount > 0:
                                self.depth_full['asks'][price] = amount 
                            else:
                                if price in self.depth_full['asks']:del(self.depth_full['asks'][price])
                        self.depth_update.remove(i)
                        self.lastUpdateId = u
                    else:
                        self.logger.error('增量深度不满足文档要求的条件')
            buyP = list(self.depth_full['bids'].keys())
            buyP.sort(reverse=True) # 从大到小
            sellP = list(self.depth_full['asks'].keys())
            sellP.sort(reverse=False) # 从小到大
            # update ticker
            self.ticker_info["bp"] = float(buyP[0])
            self.ticker_info["ap"] = float(sellP[0])
            self.callback['onTicker'](self.ticker_info)
            if self.ticker_info["bp"] > self.ticker_info["ap"]:
                self.need_flash = 1
            ##### 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 price in buyP:
                if price > price_thre:
                    bv[index] += self.depth_full['bids'][price]
                else:
                    price_thre -= step
                    index += 1
                    if index == utils.LEVEL:
                        break
                    bv[index] += self.depth_full['bids'][price]
            price_thre = self.ticker_info["ap"] + step
            index = 0
            for price in sellP:
                if price < price_thre:
                    av[index] += self.depth_full['asks'][price]
                else:
                    price_thre += step
                    index += 1
                    if index == utils.LEVEL:
                        break
                    av[index] += self.depth_full['asks'][price]
            self.depth = bp + bv + ap + av
            self.callback['onDepth']({'name':self.name,'data':self.depth})
        
    
    def _update_trade(self, msg):
        '''
            根据trade修正depth对性能消耗很大
        '''
        self.public_update_time = time.time()
        msg = ujson.loads(msg)
        price = float(msg['p'])
        if self.decimal == 99:self.decimal=utils.num_to_decimal(price)
        amount = float(msg['q'])
        side = 'sell' if msg['m'] else 'buy'
        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
        #### 修正ticker ####
        # side = 'sell' if msg['m'] else 'buy'
        # if side == 'buy' and price > self.ticker_info['ap']:
        #     self.ticker_info['ap'] = price
        #     self.callback['onTicker'](self.ticker_info)
        # if side == 'sell' and price < self.ticker_info['bp']:
        #     self.ticker_info['bp'] = price
        #     self.callback['onTicker'](self.ticker_info)

    def _update_account(self, msg):
        self.private_update_time = time.time()
        msg = ujson.loads(msg)
        for i in msg['a']['B']:
            if i['a'] == self.quote:
                self.callback['onEquity']({self.quote:float(i['wb'])})
    
    def _update_order(self, msg):
        '''将ws收到的订单信息触发quant'''
        msg = ujson.loads(msg)
        self.logger.debug(f"ws订单推送 {msg}")
        data = msg['o']
        if self.symbol in data['s']:
            order_event = dict()
            status = data['X']
            if status == "NEW": # 新增
                local_status = "NEW"
            elif status in ["CANCELED", "FILLED", "EXPIRED"]: # 删除 
                local_status = "REMOVE"  
            elif status in ["PARTIALLY_FILLED"]: # 忽略
                return 
            else:
                print("未知订单状态",data)
                return 
            order_event['status'] = local_status 
            order_event['filled_price'] = float(data['ap'])
            order_event['filled'] = float(data['z'])
            order_event['client_id'] = data['c']
            order_event['order_id'] = data['i']
            self.callback['onOrder'](order_event)
        self.private_update_time = time.time()

    def _update_position(self, msg):
        long_pos, short_pos = 0, 0
        long_avg, short_avg = 0, 0 
        msg = ujson.loads(msg)
        is_update = 0
        for i in msg['a']['P']:
            if i['s'] == self.symbol:
                is_update = 1
                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']))
        if is_update:
            pos = model.Position()
            pos.longPos = long_pos
            pos.longAvg = long_avg
            pos.shortPos = short_pos
            pos.shortAvg = short_avg
            self.callback['onPosition'](pos)
        self.private_update_time = time.time()

    def _get_data(self):
        market_data = self.depth + [self.max_buy, self.min_sell]
        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
        return {'name': self.name,'data':market_data}

    async def get_depth_flash(self):
        headers = {}
        headers['Content-Type'] = 'application/json'
        url = f'https://fapi.binance.com/fapi/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)

    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 run(self, is_auth=0, sub_trade=0, sub_fast=0):
        while True:
            try:
                # 重置更新时间
                self.public_update_time = time.time()
                self.private_update_time = time.time()
                # 尝试连接
                print(f'{self.name} 尝试连接ws')
                # 登陆
                if is_auth:
                    listenKey = await self.get_sign()
                    listenKeyTime = time.time()
                else:
                    listenKey = 'qqlh'
                ws_url = self.URL+listenKey
                async with aiohttp.ClientSession(
                        connector = aiohttp.TCPConnector(
                                limit=50,
                                keepalive_timeout=120,
                                verify_ssl=False,
                                local_addr=(self.ip,0)
                            )
                        ).ws_connect(
                            ws_url,
                            proxy=self.proxy,
                            timeout=30,
                            receive_timeout=30,
                            ) as _ws:
                    print(f'{self.name} ws连接成功')
                    self.logger.debug(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}@depth@100ms",
                            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)
                    self.need_flash = 1
                    while True:
                        # 停机信号
                        if self.stop_flag:
                            await _ws.close()
                            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)
                        if 'depthUpdate' in msg:self._update_depth20(msg)
                        elif 'bookTicker' in msg:self._update_ticker(msg)
                        elif 'aggTrade' in msg:self._update_trade(msg)
                        elif 'ACCOUNT_UPDATE' in msg:
                            self._update_position(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')
                        # 续期listenkey
                        if is_auth:
                            if time.time() - listenKeyTime > 60*15: # 每15分钟续一次
                                print('续期listenKey')
                                listenKeyTime = time.time()
                                await self.long_key()
                            if time.time() - self.private_update_time > self.expired_time*5:
                                raise Exception('长期未更新私有信息重连')
                        if time.time() - self.public_update_time > self.expired_time:
                            raise Exception('长期未更新公有信息重连')
                        # if self.need_flash:
                        #     depth_flash = await self.get_depth_flash()
                        #     self.lastUpdateId = depth_flash['lastUpdateId']
                        #     print(f'更新绝对深度 {self.lastUpdateId}')
                        #     # 检查已有更新中是否包含
                        #     self.depth_full['bids'] = dict()
                        #     self.depth_full['asks'] = dict()
                        #     for i in depth_flash['bids']:self.depth_full['bids'][float(i[0])] = float(i[1])
                        #     for i in depth_flash['asks']:self.depth_full['asks'][float(i[0])] = float(i[1])
                        #     self.need_flash = 0
            except:
                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...')
                self.logger.error(traceback.format_exc())
                await asyncio.sleep(1)