129 lines
4.5 KiB
Python
129 lines
4.5 KiB
Python
from fastapi import FastAPI, HTTPException
|
||
from fastapi.middleware.cors import CORSMiddleware
|
||
import httpx
|
||
from datetime import datetime, timedelta
|
||
import asyncio, time
|
||
|
||
app = FastAPI(title="Arbitrage Engine API")
|
||
|
||
app.add_middleware(
|
||
CORSMiddleware,
|
||
allow_origins=["*"],
|
||
allow_methods=["*"],
|
||
allow_headers=["*"],
|
||
)
|
||
|
||
BINANCE_FAPI = "https://fapi.binance.com/fapi/v1"
|
||
SYMBOLS = ["BTCUSDT", "ETHUSDT"]
|
||
HEADERS = {"User-Agent": "Mozilla/5.0 (Windows NT 10.0; Win64; x64) AppleWebKit/537.36"}
|
||
|
||
# 简单内存缓存（history/stats 60秒，rates 3秒）
|
||
_cache: dict = {}
|
||
|
||
def get_cache(key: str, ttl: int):
|
||
entry = _cache.get(key)
|
||
if entry and time.time() - entry["ts"] < ttl:
|
||
return entry["data"]
|
||
return None
|
||
|
||
def set_cache(key: str, data):
|
||
_cache[key] = {"ts": time.time(), "data": data}
|
||
|
||
|
||
@app.get("/api/health")
|
||
async def health():
|
||
return {"status": "ok", "timestamp": datetime.utcnow().isoformat()}
|
||
|
||
|
||
@app.get("/api/rates")
|
||
async def get_rates():
|
||
cached = get_cache("rates", 3)
|
||
if cached: return cached
|
||
async with httpx.AsyncClient(timeout=10, headers=HEADERS) as client:
|
||
tasks = [client.get(f"{BINANCE_FAPI}/premiumIndex", params={"symbol": s}) for s in SYMBOLS]
|
||
responses = await asyncio.gather(*tasks)
|
||
result = {}
|
||
for sym, resp in zip(SYMBOLS, responses):
|
||
if resp.status_code != 200:
|
||
raise HTTPException(status_code=502, detail=f"Binance error for {sym}")
|
||
data = resp.json()
|
||
key = sym.replace("USDT", "")
|
||
result[key] = {
|
||
"symbol": sym,
|
||
"markPrice": float(data["markPrice"]),
|
||
"indexPrice": float(data["indexPrice"]),
|
||
"lastFundingRate": float(data["lastFundingRate"]),
|
||
"nextFundingTime": data["nextFundingTime"],
|
||
"timestamp": data["time"],
|
||
}
|
||
set_cache("rates", result)
|
||
return result
|
||
|
||
|
||
@app.get("/api/history")
|
||
async def get_history():
|
||
cached = get_cache("history", 60)
|
||
if cached: return cached
|
||
end_time = int(datetime.utcnow().timestamp() * 1000)
|
||
start_time = int((datetime.utcnow() - timedelta(days=7)).timestamp() * 1000)
|
||
async with httpx.AsyncClient(timeout=15, headers=HEADERS) as client:
|
||
tasks = [
|
||
client.get(f"{BINANCE_FAPI}/fundingRate",
|
||
params={"symbol": s, "startTime": start_time, "endTime": end_time, "limit": 1000})
|
||
for s in SYMBOLS
|
||
]
|
||
responses = await asyncio.gather(*tasks)
|
||
result = {}
|
||
for sym, resp in zip(SYMBOLS, responses):
|
||
if resp.status_code != 200:
|
||
raise HTTPException(status_code=502, detail=f"Binance history error for {sym}")
|
||
key = sym.replace("USDT", "")
|
||
result[key] = [
|
||
{"fundingTime": item["fundingTime"], "fundingRate": float(item["fundingRate"]),
|
||
"timestamp": datetime.utcfromtimestamp(item["fundingTime"] / 1000).isoformat()}
|
||
for item in resp.json()
|
||
]
|
||
set_cache("history", result)
|
||
return result
|
||
|
||
|
||
@app.get("/api/stats")
|
||
async def get_stats():
|
||
cached = get_cache("stats", 60)
|
||
if cached: return cached
|
||
end_time = int(datetime.utcnow().timestamp() * 1000)
|
||
start_time = int((datetime.utcnow() - timedelta(days=7)).timestamp() * 1000)
|
||
async with httpx.AsyncClient(timeout=15, headers=HEADERS) as client:
|
||
tasks = [
|
||
client.get(f"{BINANCE_FAPI}/fundingRate",
|
||
params={"symbol": s, "startTime": start_time, "endTime": end_time, "limit": 1000})
|
||
for s in SYMBOLS
|
||
]
|
||
responses = await asyncio.gather(*tasks)
|
||
stats = {}
|
||
for sym, resp in zip(SYMBOLS, responses):
|
||
if resp.status_code != 200:
|
||
raise HTTPException(status_code=502, detail=f"Binance stats error for {sym}")
|
||
key = sym.replace("USDT", "")
|
||
rates = [float(item["fundingRate"]) for item in resp.json()]
|
||
if not rates:
|
||
stats[key] = {"mean7d": 0, "annualized": 0, "count": 0}
|
||
continue
|
||
mean = sum(rates) / len(rates)
|
||
annualized = mean * 3 * 365 * 100
|
||
stats[key] = {
|
||
"mean7d": round(mean * 100, 6),
|
||
"annualized": round(annualized, 2),
|
||
"count": len(rates),
|
||
}
|
||
btc_ann = stats.get("BTC", {}).get("annualized", 0)
|
||
eth_ann = stats.get("ETH", {}).get("annualized", 0)
|
||
btc_mean = stats.get("BTC", {}).get("mean7d", 0)
|
||
eth_mean = stats.get("ETH", {}).get("mean7d", 0)
|
||
stats["combo"] = {
|
||
"mean7d": round((btc_mean + eth_mean) / 2, 6),
|
||
"annualized": round((btc_ann + eth_ann) / 2, 2),
|
||
}
|
||
set_cache("stats", stats)
|
||
return stats
|