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Update Binance WebSocket configuration and enhance depth handling

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- Changed WebSocket base URL to support both spot and futures trading.
- Adjusted depth tracking parameters for improved performance, increasing the ratio and reducing speed.
- Enhanced payload parsing to accommodate additional data structures from Binance, ensuring robust handling of bids and asks.
- Updated comments for clarity on connection behavior and heartbeat monitoring.
This commit is contained in:
discountry
2026-01-22 10:23:07 +08:00
parent 24339929dc
commit fe7b8eb6f3
2 changed files with 20 additions and 11 deletions
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src/strategy/common/binance-depth.ts
+17 -8
View File
@@ -6,10 +6,10 @@ const WebSocketCtor: typeof globalThis.WebSocket =
? globalThis.WebSocket ? globalThis.WebSocket
: ((NodeWebSocket as unknown) as typeof globalThis.WebSocket); : ((NodeWebSocket as unknown) as typeof globalThis.WebSocket);
const DEFAULT_BASE_URL = "wss://fstream.binance.com/ws"; const DEFAULT_BASE_URL = "wss://stream.binance.com:9443/ws";
// ========== Binance WebSocket 连接管理常量 ========== // ========== Binance WebSocket 连接管理常量 ==========
// Binance 服务器每 3 分钟发送 ping，10 分钟无 pong 会断连 // Binance 会发送 ping，若长时间无消息则认为连接异常
// 我们设置 5 分钟作为心跳超时阈值（保守值） // 我们设置 5 分钟作为心跳超时阈值（保守值）
const HEARTBEAT_TIMEOUT_MS = 5 * 60 * 1000; const HEARTBEAT_TIMEOUT_MS = 5 * 60 * 1000;
// 心跳检查间隔（每 30 秒检查一次） // 心跳检查间隔（每 30 秒检查一次）
@@ -247,7 +247,7 @@ export class BinanceDepthTracker {
/** /**
* 启动心跳监控 * 启动心跳监控
* 根据 Binance 文档：10 分钟无 pong 会断连 * 根据 Binance 文档：长时间无 pong 会断连
* 我们设置 5 分钟作为心跳超时阈值 * 我们设置 5 分钟作为心跳超时阈值
*/ */
private startHeartbeatMonitor(): void { private startHeartbeatMonitor(): void {
@@ -338,10 +338,10 @@ export class BinanceDepthTracker {
private handlePayload(data: unknown): void { private handlePayload(data: unknown): void {
const payload = this.parsePayload(data); const payload = this.parsePayload(data);
if (!payload) return; if (!payload) return;
const bids = Array.isArray(payload.b) ? payload.b : []; const bids = Array.isArray(payload.b) ? payload.b : Array.isArray(payload.bids) ? payload.bids : [];
const asks = Array.isArray(payload.a) ? payload.a : []; const asks = Array.isArray(payload.a) ? payload.a : Array.isArray(payload.asks) ? payload.asks : [];
const depth = { const depth = {
lastUpdateId: Number(payload.u ?? Date.now()), lastUpdateId: Number(payload.lastUpdateId ?? payload.u ?? Date.now()),
bids, bids,
asks, asks,
}; };
@@ -366,13 +366,22 @@ export class BinanceDepthTracker {
} }
} }
private parsePayload(data: unknown): { b?: [string, string][]; a?: [string, string][]; u?: number } | null { private parsePayload(
data: unknown
): { b?: [string, string][]; a?: [string, string][]; bids?: [string, string][]; asks?: [string, string][]; u?: number; lastUpdateId?: number } | null {
try { try {
const text = typeof data === "string" ? data : Buffer.isBuffer(data) ? data.toString("utf-8") : null; const text = typeof data === "string" ? data : Buffer.isBuffer(data) ? data.toString("utf-8") : null;
if (!text) return null; if (!text) return null;
const parsed = JSON.parse(text); const parsed = JSON.parse(text);
if (!parsed || typeof parsed !== "object") return null; if (!parsed || typeof parsed !== "object") return null;
return parsed as { b?: [string, string][]; a?: [string, string][]; u?: number }; return parsed as {
b?: [string, string][];
a?: [string, string][];
bids?: [string, string][];
asks?: [string, string][];
u?: number;
lastUpdateId?: number;
};
} catch { } catch {
return null; return null;
} }
src/strategy/maker-points-engine.ts
+3 -3
View File
@@ -190,10 +190,10 @@ export class MakerPointsEngine {
this.priceTick = Math.max(1e-9, this.config.priceTick); this.priceTick = Math.max(1e-9, this.config.priceTick);
this.qtyStep = Math.max(1e-9, this.config.qtyStep); this.qtyStep = Math.max(1e-9, this.config.qtyStep);
this.binanceDepth = new BinanceDepthTracker(resolveBinanceSymbol(this.config.symbol), { this.binanceDepth = new BinanceDepthTracker(resolveBinanceSymbol(this.config.symbol), {
baseUrl: process.env.BINANCE_WS_URL, baseUrl: process.env.BINANCE_SPOT_WS_URL ?? process.env.BINANCE_WS_URL,
levels: 20, levels: 20,
ratio: 5, ratio: 9,
speedMs: 500, speedMs: 100,
logger: (context, error) => { logger: (context, error) => {
this.tradeLog.push("warn", `Binance ${context} 异常: ${extractMessage(error)}`); this.tradeLog.push("warn", `Binance ${context} 异常: ${extractMessage(error)}`);
}, },