122 lines
4.0 KiB
Python
122 lines
4.0 KiB
Python
from fastapi import FastAPI, HTTPException
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from fastapi.middleware.cors import CORSMiddleware
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import httpx
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from datetime import datetime, timedelta
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import asyncio
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app = FastAPI(title="Arbitrage Engine API")
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app.add_middleware(
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CORSMiddleware,
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allow_origins=["*"],
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allow_methods=["*"],
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allow_headers=["*"],
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)
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BINANCE_FAPI = "https://fapi.binance.com/fapi/v1"
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SYMBOLS = ["BTCUSDT", "ETHUSDT"]
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@app.get("/api/health")
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async def health():
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return {"status": "ok", "timestamp": datetime.utcnow().isoformat()}
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@app.get("/api/rates")
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async def get_rates():
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async with httpx.AsyncClient(timeout=10) as client:
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tasks = [client.get(f"{BINANCE_FAPI}/premiumIndex", params={"symbol": s}) for s in SYMBOLS]
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responses = await asyncio.gather(*tasks)
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result = {}
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for sym, resp in zip(SYMBOLS, responses):
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if resp.status_code != 200:
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raise HTTPException(status_code=502, detail=f"Binance error for {sym}")
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data = resp.json()
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key = sym.replace("USDT", "")
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result[key] = {
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"symbol": sym,
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"markPrice": float(data["markPrice"]),
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"indexPrice": float(data["indexPrice"]),
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"lastFundingRate": float(data["lastFundingRate"]),
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"nextFundingTime": data["nextFundingTime"],
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"timestamp": data["time"],
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}
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return result
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@app.get("/api/history")
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async def get_history():
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end_time = int(datetime.utcnow().timestamp() * 1000)
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start_time = int((datetime.utcnow() - timedelta(days=7)).timestamp() * 1000)
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async with httpx.AsyncClient(timeout=15) as client:
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tasks = [
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client.get(
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f"{BINANCE_FAPI}/fundingRate",
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params={"symbol": s, "startTime": start_time, "endTime": end_time, "limit": 1000},
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)
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for s in SYMBOLS
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]
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responses = await asyncio.gather(*tasks)
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result = {}
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for sym, resp in zip(SYMBOLS, responses):
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if resp.status_code != 200:
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raise HTTPException(status_code=502, detail=f"Binance history error for {sym}")
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key = sym.replace("USDT", "")
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result[key] = [
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{
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"fundingTime": item["fundingTime"],
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"fundingRate": float(item["fundingRate"]),
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"timestamp": datetime.utcfromtimestamp(item["fundingTime"] / 1000).isoformat(),
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}
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for item in resp.json()
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]
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return result
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@app.get("/api/stats")
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async def get_stats():
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end_time = int(datetime.utcnow().timestamp() * 1000)
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start_time = int((datetime.utcnow() - timedelta(days=7)).timestamp() * 1000)
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async with httpx.AsyncClient(timeout=15) as client:
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tasks = [
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client.get(
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f"{BINANCE_FAPI}/fundingRate",
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params={"symbol": s, "startTime": start_time, "endTime": end_time, "limit": 1000},
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)
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for s in SYMBOLS
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]
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responses = await asyncio.gather(*tasks)
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stats = {}
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for sym, resp in zip(SYMBOLS, responses):
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if resp.status_code != 200:
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raise HTTPException(status_code=502, detail=f"Binance stats error for {sym}")
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key = sym.replace("USDT", "")
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rates = [float(item["fundingRate"]) for item in resp.json()]
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if not rates:
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stats[key] = {"mean7d": 0, "annualized": 0, "count": 0}
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continue
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mean = sum(rates) / len(rates)
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annualized = mean * 3 * 365 * 100 # 3 settlements/day * 365 days * %
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stats[key] = {
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"mean7d": round(mean * 100, 6), # as percent
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"annualized": round(annualized, 2), # as percent
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"count": len(rates),
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}
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# 50-50 combo
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btc_ann = stats.get("BTC", {}).get("annualized", 0)
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eth_ann = stats.get("ETH", {}).get("annualized", 0)
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btc_mean = stats.get("BTC", {}).get("mean7d", 0)
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eth_mean = stats.get("ETH", {}).get("mean7d", 0)
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stats["combo"] = {
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"mean7d": round((btc_mean + eth_mean) / 2, 6),
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"annualized": round((btc_ann + eth_ann) / 2, 2),
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}
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return stats
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