31e6e19ea6
P0-1: 风控Fail-Closed(状态文件缺失/过期/异常→拒绝开仓) P0-2: 1R基准跨模块统一(position_sync+risk_guard从live_config动态读) P0-3: close_all紧急全平校验返回值+二次验仓 P0-4: Coinbase Premium单位修复(premium_pct/100→比例值) P1-3: 正向funding计入净PnL(不再只扣负值) P1-4: 数据新鲜度检查落地(查signal_indicators最新ts) P1-6: live表DDL补全到SCHEMA_SQL(live_config/live_events/live_trades) P2-1: _get_risk_usd()加60秒缓存 P2-3: 模拟盘前端*200→从config动态算paper1R P2-4: XRP/SOL跳过Coinbase Premium采集(无数据源) P3-2: SQL参数化(fetch_pending_signals用ANY替代f-string) 额外: pnl_r公式修正(gross-fee+funding，funding正负都正确计入)
207 lines
8.0 KiB
Python
207 lines
8.0 KiB
Python
import asyncio
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import json
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import logging
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import os
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import time
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from typing import Any
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import aiohttp
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import psycopg2
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from psycopg2.extras import Json
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SYMBOLS = ["BTCUSDT", "ETHUSDT", "XRPUSDT", "SOLUSDT"]
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INTERVAL_SECONDS = 300
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PG_HOST = os.getenv("PG_HOST", "127.0.0.1")
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PG_PORT = int(os.getenv("PG_PORT", "5432"))
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PG_DB = os.getenv("PG_DB", "arb_engine")
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PG_USER = os.getenv("PG_USER", "arb")
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PG_PASS = os.getenv("PG_PASS", "arb_engine_2026")
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TABLE_SQL = """
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CREATE TABLE IF NOT EXISTS market_indicators (
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id SERIAL PRIMARY KEY,
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symbol VARCHAR(20) NOT NULL,
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indicator_type VARCHAR(50) NOT NULL,
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timestamp_ms BIGINT NOT NULL,
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value JSONB NOT NULL,
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created_at TIMESTAMP DEFAULT NOW(),
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UNIQUE(symbol, indicator_type, timestamp_ms)
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);
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CREATE INDEX IF NOT EXISTS idx_market_indicators_lookup
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ON market_indicators(symbol, indicator_type, timestamp_ms DESC);
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"""
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UPSERT_SQL = """
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INSERT INTO market_indicators (symbol, indicator_type, timestamp_ms, value)
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VALUES (%s, %s, %s, %s)
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ON CONFLICT (symbol, indicator_type, timestamp_ms)
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DO UPDATE SET value = EXCLUDED.value;
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"""
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logging.basicConfig(
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level=logging.INFO,
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format="%(asctime)s [%(levelname)s] %(message)s",
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)
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logger = logging.getLogger("market_data_collector")
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class MarketDataCollector:
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def __init__(self) -> None:
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self.conn = psycopg2.connect(
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host=PG_HOST,
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port=PG_PORT,
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dbname=PG_DB,
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user=PG_USER,
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password=PG_PASS,
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)
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self.conn.autocommit = False
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def close(self) -> None:
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try:
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self.conn.close()
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except Exception:
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pass
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def ensure_table(self) -> None:
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with self.conn.cursor() as cur:
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cur.execute(TABLE_SQL)
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self.conn.commit()
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logger.info("market_indicators table ensured")
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def save_indicator(self, symbol: str, indicator_type: str, timestamp_ms: int, payload: Any) -> None:
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with self.conn.cursor() as cur:
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cur.execute(UPSERT_SQL, (symbol, indicator_type, timestamp_ms, Json(payload)))
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self.conn.commit()
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async def fetch_json(self, session: aiohttp.ClientSession, url: str, params: dict[str, Any] | None = None) -> Any:
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async with session.get(url, params=params, timeout=aiohttp.ClientTimeout(total=20)) as resp:
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if resp.status != 200:
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text = await resp.text()
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raise RuntimeError(f"HTTP {resp.status} {url} {text[:200]}")
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return await resp.json()
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async def collect_long_short_ratio(self, session: aiohttp.ClientSession, symbol: str) -> None:
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endpoint = "https://fapi.binance.com/futures/data/globalLongShortAccountRatio"
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data = await self.fetch_json(session, endpoint, {"symbol": symbol, "period": "5m", "limit": 1})
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if not data:
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raise RuntimeError("empty response")
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item = data[0]
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ts = int(item.get("timestamp") or int(time.time() * 1000))
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self.save_indicator(symbol, "long_short_ratio", ts, item)
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async def collect_top_trader_position(self, session: aiohttp.ClientSession, symbol: str) -> None:
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endpoint = "https://fapi.binance.com/futures/data/topLongShortPositionRatio"
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data = await self.fetch_json(session, endpoint, {"symbol": symbol, "period": "5m", "limit": 1})
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if not data:
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raise RuntimeError("empty response")
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item = data[0]
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ts = int(item.get("timestamp") or int(time.time() * 1000))
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self.save_indicator(symbol, "top_trader_position", ts, item)
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async def collect_open_interest_hist(self, session: aiohttp.ClientSession, symbol: str) -> None:
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endpoint = "https://fapi.binance.com/futures/data/openInterestHist"
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data = await self.fetch_json(session, endpoint, {"symbol": symbol, "period": "5m", "limit": 1})
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if not data:
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raise RuntimeError("empty response")
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item = data[0]
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ts = int(item.get("timestamp") or int(time.time() * 1000))
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self.save_indicator(symbol, "open_interest_hist", ts, item)
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async def collect_coinbase_premium(self, session: aiohttp.ClientSession, symbol: str) -> None:
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pair_map = {
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"BTCUSDT": "BTC-USD",
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"ETHUSDT": "ETH-USD",
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}
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coinbase_pair = pair_map.get(symbol)
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if not coinbase_pair:
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return # XRP/SOL无Coinbase数据，跳过
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binance_url = "https://api.binance.com/api/v3/ticker/price"
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coinbase_url = f"https://api.coinbase.com/v2/prices/{coinbase_pair}/spot"
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binance_data = await self.fetch_json(session, binance_url, {"symbol": symbol})
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coinbase_data = await self.fetch_json(session, coinbase_url)
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binance_price = float(binance_data["price"])
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coinbase_price = float(coinbase_data["data"]["amount"])
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premium_pct = (coinbase_price - binance_price) / binance_price * 100.0
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ts = int(time.time() * 1000)
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payload = {
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"symbol": symbol,
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"coinbase_pair": coinbase_pair,
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"binance": binance_data,
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"coinbase": coinbase_data,
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"premium_pct": premium_pct,
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}
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self.save_indicator(symbol, "coinbase_premium", ts, payload)
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async def collect_funding_rate(self, session: aiohttp.ClientSession, symbol: str) -> None:
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endpoint = "https://fapi.binance.com/fapi/v1/premiumIndex"
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data = await self.fetch_json(session, endpoint, {"symbol": symbol})
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if not data:
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raise RuntimeError("empty response")
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# premiumIndex returns a single object (not array)
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item = data if isinstance(data, dict) else data[0]
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# Use current time as timestamp so every 5-min poll stores a new row
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ts = int(time.time() * 1000)
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payload = {
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"symbol": item.get("symbol"),
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"markPrice": item.get("markPrice"),
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"indexPrice": item.get("indexPrice"),
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"lastFundingRate": item.get("lastFundingRate"),
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"nextFundingTime": item.get("nextFundingTime"),
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"interestRate": item.get("interestRate"),
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"fundingRate": item.get("lastFundingRate"), # compat: signal_engine reads 'fundingRate'
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"time": ts,
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}
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self.save_indicator(symbol, "funding_rate", ts, payload)
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async def collect_symbol(self, session: aiohttp.ClientSession, symbol: str) -> None:
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tasks = [
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("long_short_ratio", self.collect_long_short_ratio(session, symbol)),
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("top_trader_position", self.collect_top_trader_position(session, symbol)),
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("open_interest_hist", self.collect_open_interest_hist(session, symbol)),
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("coinbase_premium", self.collect_coinbase_premium(session, symbol)),
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("funding_rate", self.collect_funding_rate(session, symbol)),
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]
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results = await asyncio.gather(*(t[1] for t in tasks), return_exceptions=True)
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for i, result in enumerate(results):
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name = tasks[i][0]
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if isinstance(result, Exception):
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logger.error("[%s] %s failed: %s", symbol, name, result)
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else:
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logger.info("[%s] %s collected", symbol, name)
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async def run_forever(self) -> None:
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self.ensure_table()
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headers = {"User-Agent": "ArbEngine/market-data-collector"}
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async with aiohttp.ClientSession(headers=headers) as session:
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while True:
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started = time.time()
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logger.info("start collection round")
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await asyncio.gather(*(self.collect_symbol(session, s) for s in SYMBOLS))
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elapsed = time.time() - started
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sleep_for = max(1, INTERVAL_SECONDS - int(elapsed))
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logger.info("round done in %.2fs, sleep %ss", elapsed, sleep_for)
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await asyncio.sleep(sleep_for)
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async def main() -> None:
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collector = MarketDataCollector()
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try:
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await collector.run_forever()
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finally:
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collector.close()
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if __name__ == "__main__":
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try:
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asyncio.run(main())
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except KeyboardInterrupt:
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logger.info("stopped by keyboard interrupt")
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