fix: address code review round 2 — 9 issues (2 critical, 3 important, 4 minor)
Critical: - #2: Add _entry_lock in RiskManager to serialize concurrent entry (balance race) - #3: Add startTime to get_recent_income + record _entry_time_ms (SYNC PnL fix) Important: - #1: Add threading.Lock + _run_api() helper for thread-safe Client access - #4: Convert reset_daily to async with lock - #8: Add 24h TTL to exchange_info_cache Minor: - #7: Remove duplicate Indicators creation in _open_position (use ATR directly) - #11: Add input validation for LEVERAGE, MARGIN ratios, ML_THRESHOLD - #12: Replace hardcoded corr[0]/corr[1] with dict-based dynamic access - #14: Add fillna(0.0) to LightGBM path for NaN consistency with ONNX Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
This commit is contained in:
110
src/exchange.py
110
src/exchange.py
@@ -1,5 +1,7 @@
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import asyncio
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import math
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import threading
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import time as _time
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from binance.client import Client
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from binance.exceptions import BinanceAPIException
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from loguru import logger
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@@ -7,8 +9,10 @@ from src.config import Config
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class BinanceFuturesClient:
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# 클래스 레벨 exchange info 캐시 (전체 심볼 1회만 조회)
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# 클래스 레벨 exchange info 캐시 (TTL 24시간)
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_exchange_info_cache: dict | None = None
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_exchange_info_time: float = 0.0
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_EXCHANGE_INFO_TTL: float = 86400.0 # 24시간
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def __init__(self, config: Config, symbol: str = None):
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self.config = config
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@@ -19,18 +23,32 @@ class BinanceFuturesClient:
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)
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self._qty_precision: int | None = None
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self._price_precision: int | None = None
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self._api_lock = threading.Lock() # requests.Session 스레드 안전성 보장
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MIN_NOTIONAL = 5.0 # 바이낸스 선물 최소 명목금액 (USDT)
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async def _run_api(self, func):
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"""동기 API 호출을 스레드 풀에서 실행하되, _api_lock으로 직렬화한다."""
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loop = asyncio.get_running_loop()
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return await loop.run_in_executor(
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None, lambda: self._call_with_lock(func),
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)
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def _call_with_lock(self, func):
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with self._api_lock:
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return func()
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@classmethod
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def _get_exchange_info(cls, client: Client) -> dict | None:
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"""exchange info를 클래스 레벨로 캐시하여 1회만 조회한다."""
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if cls._exchange_info_cache is None:
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"""exchange info를 클래스 레벨로 캐시한다 (TTL 24시간)."""
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now = _time.monotonic()
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if cls._exchange_info_cache is None or (now - cls._exchange_info_time) > cls._EXCHANGE_INFO_TTL:
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try:
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cls._exchange_info_cache = client.futures_exchange_info()
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cls._exchange_info_time = now
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except Exception as e:
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logger.warning(f"exchange info 조회 실패: {e}")
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return None
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return cls._exchange_info_cache # 만료돼도 기존 캐시 반환
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return cls._exchange_info_cache
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def _load_symbol_precision(self) -> None:
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@@ -83,19 +101,14 @@ class BinanceFuturesClient:
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return qty_rounded
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async def set_leverage(self, leverage: int) -> dict:
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loop = asyncio.get_running_loop()
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return await loop.run_in_executor(
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None,
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return await self._run_api(
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lambda: self.client.futures_change_leverage(
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symbol=self.symbol, leverage=leverage
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),
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)
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async def get_balance(self) -> float:
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loop = asyncio.get_running_loop()
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balances = await loop.run_in_executor(
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None, self.client.futures_account_balance
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)
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balances = await self._run_api(self.client.futures_account_balance)
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for b in balances:
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if b["asset"] == "USDT":
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return float(b["balance"])
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@@ -110,8 +123,6 @@ class BinanceFuturesClient:
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stop_price: float = None,
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reduce_only: bool = False,
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) -> dict:
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loop = asyncio.get_running_loop()
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params = dict(
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symbol=self.symbol,
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side=side,
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@@ -125,17 +136,15 @@ class BinanceFuturesClient:
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if stop_price is not None:
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params["stopPrice"] = stop_price
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try:
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return await loop.run_in_executor(
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None, lambda: self.client.futures_create_order(**params)
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return await self._run_api(
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lambda: self.client.futures_create_order(**params)
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)
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except BinanceAPIException as e:
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logger.error(f"주문 실패: {e}")
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raise
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async def get_position(self) -> dict | None:
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loop = asyncio.get_running_loop()
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positions = await loop.run_in_executor(
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None,
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positions = await self._run_api(
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lambda: self.client.futures_position_information(
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symbol=self.symbol
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),
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@@ -147,37 +156,37 @@ class BinanceFuturesClient:
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async def get_open_orders(self) -> list[dict]:
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"""현재 심볼의 오픈 주문 목록을 조회한다."""
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loop = asyncio.get_running_loop()
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return await loop.run_in_executor(
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None,
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return await self._run_api(
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lambda: self.client.futures_get_open_orders(symbol=self.symbol),
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)
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async def cancel_all_orders(self):
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"""오픈 주문을 모두 취소한다."""
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loop = asyncio.get_running_loop()
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await loop.run_in_executor(
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None,
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await self._run_api(
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lambda: self.client.futures_cancel_all_open_orders(
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symbol=self.symbol
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),
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)
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async def get_recent_income(self, limit: int = 5) -> list[dict]:
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"""최근 REALIZED_PNL + COMMISSION 내역을 조회한다."""
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loop = asyncio.get_running_loop()
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async def get_recent_income(self, limit: int = 5, start_time: int | None = None) -> tuple[list[dict], list[dict]]:
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"""최근 REALIZED_PNL + COMMISSION 내역을 조회한다.
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Args:
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limit: 최대 조회 건수
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start_time: 밀리초 단위 시작 시각. 지정 시 해당 시각 이후 데이터만 반환.
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"""
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try:
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rows = await loop.run_in_executor(
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None,
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lambda: self.client.futures_income_history(
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symbol=self.symbol, incomeType="REALIZED_PNL", limit=limit,
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),
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pnl_params = dict(symbol=self.symbol, incomeType="REALIZED_PNL", limit=limit)
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comm_params = dict(symbol=self.symbol, incomeType="COMMISSION", limit=limit)
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if start_time is not None:
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pnl_params["startTime"] = start_time
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comm_params["startTime"] = start_time
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rows = await self._run_api(
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lambda: self.client.futures_income_history(**pnl_params),
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)
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commissions = await loop.run_in_executor(
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None,
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lambda: self.client.futures_income_history(
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symbol=self.symbol, incomeType="COMMISSION", limit=limit,
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),
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commissions = await self._run_api(
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lambda: self.client.futures_income_history(**comm_params),
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)
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return rows, commissions
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except Exception as e:
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@@ -186,10 +195,8 @@ class BinanceFuturesClient:
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async def get_open_interest(self) -> float | None:
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"""현재 미결제약정(OI)을 조회한다. 오류 시 None 반환."""
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loop = asyncio.get_running_loop()
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try:
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result = await loop.run_in_executor(
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None,
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result = await self._run_api(
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lambda: self.client.futures_open_interest(symbol=self.symbol),
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)
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return float(result["openInterest"])
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@@ -199,10 +206,8 @@ class BinanceFuturesClient:
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async def get_funding_rate(self) -> float | None:
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"""현재 펀딩비를 조회한다. 오류 시 None 반환."""
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loop = asyncio.get_running_loop()
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try:
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result = await loop.run_in_executor(
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None,
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result = await self._run_api(
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lambda: self.client.futures_mark_price(symbol=self.symbol),
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)
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return float(result["lastFundingRate"])
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@@ -212,10 +217,8 @@ class BinanceFuturesClient:
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async def get_oi_history(self, limit: int = 5) -> list[float]:
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"""최근 OI 변화율 히스토리를 조회한다 (봇 초기화용). 실패 시 빈 리스트."""
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loop = asyncio.get_running_loop()
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try:
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result = await loop.run_in_executor(
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None,
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result = await self._run_api(
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lambda: self.client.futures_open_interest_hist(
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symbol=self.symbol, period="15m", limit=limit + 1,
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),
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@@ -236,27 +239,18 @@ class BinanceFuturesClient:
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async def create_listen_key(self) -> str:
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"""POST /fapi/v1/listenKey — listenKey 신규 발급"""
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loop = asyncio.get_running_loop()
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result = await loop.run_in_executor(
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None,
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lambda: self.client.futures_stream_get_listen_key(),
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)
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return result
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return await self._run_api(self.client.futures_stream_get_listen_key)
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async def keepalive_listen_key(self, listen_key: str) -> None:
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"""PUT /fapi/v1/listenKey — listenKey 만료 연장 (60분 → 리셋)"""
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loop = asyncio.get_running_loop()
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await loop.run_in_executor(
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None,
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await self._run_api(
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lambda: self.client.futures_stream_keepalive(listenKey=listen_key),
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)
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async def delete_listen_key(self, listen_key: str) -> None:
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"""DELETE /fapi/v1/listenKey — listenKey 삭제 (정상 종료 시)"""
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loop = asyncio.get_running_loop()
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try:
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await loop.run_in_executor(
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None,
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await self._run_api(
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lambda: self.client.futures_stream_close(listenKey=listen_key),
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)
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except Exception as e:
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