init: estudio_mercados analysis from fn_registry

2026-04-06 00:57:05 +02:00
commit 65460ca942
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+{
+ "cells": [
+  {
+   "cell_type": "markdown",
+   "id": "8b2334dd",
+   "metadata": {},
+   "source": [
+    "# 01 — Descarga Masiva de Datos Historicos (Binance)\n",
+    "\n",
+    "Dos metodos para obtener datos historicos:\n",
+    "\n",
+    "1. **REST API** (`/api/v3/klines`) — Paginado, max 1000 velas por request. Ideal para 7 dias.\n",
+    "2. **Data Vision** (`data.binance.vision`) — CSVs comprimidos diarios/mensuales. Ideal para meses/anos.\n",
+    "\n",
+    "**Rate limits REST:** 6000 weight/min, klines cuesta 2 weight.\n",
+    "\n",
+    "| Endpoint | Max/req | Weight | Uso |\n",
+    "|---|---|---|---|\n",
+    "| `/api/v3/klines` | 1000 velas | 2 | Candlesticks OHLCV |\n",
+    "| `/api/v3/aggTrades` | 1000 trades | 2 | Trades agregados (max 1h window) |\n",
+    "| `/api/v3/historicalTrades` | 1000 trades | 25 | Trades individuales (requiere API key) |\n",
+    "| `data.binance.vision` | Sin limite | 0 | CSVs bulk diarios/mensuales |"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "id": "3fe45a0a",
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "import requests\n",
+    "import time\n",
+    "import datetime\n",
+    "import io\n",
+    "import zipfile\n",
+    "import pandas as pd\n",
+    "\n",
+    "BASE = \"https://api.binance.com\"\n",
+    "DATA_VISION = \"https://data.binance.vision\""
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "id": "721f68a0",
+   "metadata": {},
+   "source": [
+    "## Metodo 1: REST API — Klines con paginacion automatica\n",
+    "\n",
+    "`GET /api/v3/klines` devuelve max 1000 velas. Paginamos con `startTime`/`endTime`.\n",
+    "\n",
+    "Para 7 dias de velas 1m: ceil(7*24*60/1000) = **11 requests** (22 weight total, trivial)."
+   ]
+  }
+ ],
+ "metadata": {
+  "kernelspec": {
+   "display_name": "Python 3 (ipykernel)",
+   "language": "python",
+   "name": "python3"
+  },
+  "language_info": {
+   "codemirror_mode": {
+    "name": "ipython",
+    "version": 3
+   },
+   "file_extension": ".py",
+   "mimetype": "text/x-python",
+   "name": "python",
+   "nbconvert_exporter": "python",
+   "pygments_lexer": "ipython3",
+   "version": "3.13.7"
+  }
+ },
+ "nbformat": 4,
+ "nbformat_minor": 5
+}
@@ -0,0 +1,113 @@
+{
+ "cells": [
+  {
+   "cell_type": "markdown",
+   "id": "45f026b5",
+   "metadata": {},
+   "source": [
+    "# 02 — Streaming de Datos en Tiempo Real (Binance WebSocket)\n",
+    "\n",
+    "Binance ofrece WebSocket streams push-based para datos de mercado en tiempo real.\n",
+    "\n",
+    "**Base URLs:**\n",
+    "- Produccion: `wss://stream.binance.com:9443/ws/<stream>`\n",
+    "- Testnet: `wss://testnet.binance.vision/ws/<stream>`\n",
+    "- Multi-stream: `wss://stream.binance.com:9443/stream?streams=<s1>/<s2>`\n",
+    "\n",
+    "**Streams principales:**\n",
+    "| Stream | Nombre | Frecuencia |\n",
+    "|---|---|---|\n",
+    "| Trades individuales | `<symbol>@trade` | Cada trade |\n",
+    "| Klines en vivo | `<symbol>@kline_<interval>` | Cada cambio en vela |\n",
+    "| Mini ticker 24h | `<symbol>@miniTicker` | ~1s |\n",
+    "| Book ticker (best bid/ask) | `<symbol>@bookTicker` | Cada cambio |\n",
+    "| Todos los tickers | `!miniTicker@arr` | ~1s |\n",
+    "\n",
+    "**Reglas de conexion:**\n",
+    "- Ping cada 3 min desde Binance, pong requerido\n",
+    "- Desconexion automatica a las 24h — reconectar periodicamente\n",
+    "- Se puede suscribir/desuscribir dinamicamente via JSON"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "id": "6bb48c2e",
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "import asyncio\n",
+    "import json\n",
+    "import websockets\n",
+    "import pandas as pd\n",
+    "from datetime import datetime, timezone\n",
+    "from collections import deque\n",
+    "\n",
+    "WS_BASE = \"wss://stream.binance.com:9443/ws\""
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "id": "2b2d9b2d",
+   "metadata": {},
+   "source": [
+    "## Stream de Trades individuales\n",
+    "\n",
+    "`<symbol>@trade` — recibe cada trade ejecutado en tiempo real.\n",
+    "\n",
+    "Campos clave:\n",
+    "- `p` = precio, `q` = cantidad\n",
+    "- `m` = true si el buyer es maker (es decir, fue un sell market order que impacto un bid)\n",
+    "- `t` = trade ID, `T` = timestamp"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "id": "aaed9f77",
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "async def stream_trades(symbol: str, max_trades: int = 100) -> list[dict]:\n",
+    "    \"\"\"Captura N trades en tiempo real y retorna como lista.\"\"\"\n",
+    "    url = f\"{WS_BASE}/{symbol.lower()}@trade\"\n",
+    "    trades = []\n",
+    "\n",
+    "    async with websockets.connect(url) as ws:\n",
+    "        while len(trades) < max_trades:\n",
+    "            msg = json.loads(await ws.recv())\n",
+    "            trades.append({\n",
+    "                \"trade_id\": msg[\"t\"],\n",
+    "                \"time\": datetime.fromtimestamp(msg[\"T\"] / 1000, tz=timezone.utc),\n",
+    "                \"price\": float(msg[\"p\"]),\n",
+    "                \"qty\": float(msg[\"q\"]),\n",
+    "                \"is_buyer_maker\": msg[\"m\"],\n",
+    "                \"side\": \"SELL\" if msg[\"m\"] else \"BUY\",\n",
+    "            })\n",
+    "\n",
+    "    return trades"
+   ]
+  }
+ ],
+ "metadata": {
+  "kernelspec": {
+   "display_name": "Python 3 (ipykernel)",
+   "language": "python",
+   "name": "python3"
+  },
+  "language_info": {
+   "codemirror_mode": {
+    "name": "ipython",
+    "version": 3
+   },
+   "file_extension": ".py",
+   "mimetype": "text/x-python",
+   "name": "python",
+   "nbconvert_exporter": "python",
+   "pygments_lexer": "ipython3",
+   "version": "3.13.7"
+  }
+ },
+ "nbformat": 4,
+ "nbformat_minor": 5
+}
@@ -0,0 +1,119 @@
+{
+ "cells": [
+  {
+   "cell_type": "markdown",
+   "id": "c723d607",
+   "metadata": {},
+   "source": [
+    "# 03 — Libro de Ordenes en Tiempo Real (Binance)\n",
+    "\n",
+    "Dos enfoques para mantener un order book local:\n",
+    "\n",
+    "### Enfoque A: Partial Book Depth (simple)\n",
+    "Stream `<symbol>@depth<levels>@100ms` con levels = 5, 10, 20.\n",
+    "Envia snapshot completo del top N en cada update. Sin logica de sync.\n",
+    "\n",
+    "### Enfoque B: Diff Depth + REST Snapshot (completo)\n",
+    "1. Abrir stream `<symbol>@depth@100ms` (diffs incrementales)\n",
+    "2. Buffear eventos iniciales\n",
+    "3. Pedir snapshot REST: `GET /api/v3/depth?symbol=X&limit=1000`\n",
+    "4. Descartar eventos con `u <= lastUpdateId` del snapshot\n",
+    "5. Primer evento procesado debe tener `U <= lastUpdateId+1` AND `u >= lastUpdateId+1`\n",
+    "6. Aplicar: qty > 0 = update nivel, qty = 0 = eliminar nivel\n",
+    "7. Validar continuidad: cada evento `U` == anterior `u + 1`, si no, re-sync\n",
+    "\n",
+    "### Campos del depth update\n",
+    "```json\n",
+    "{\n",
+    "  \"U\": 157,  \"u\": 160,\n",
+    "  \"b\": [[\"price\", \"qty\"], ...],  \n",
+    "  \"a\": [[\"price\", \"qty\"], ...]   \n",
+    "}\n",
+    "```"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "id": "23b19294",
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "import asyncio\n",
+    "import json\n",
+    "import requests\n",
+    "import websockets\n",
+    "from decimal import Decimal\n",
+    "from collections import deque\n",
+    "import pandas as pd\n",
+    "\n",
+    "BASE = \"https://api.binance.com\"\n",
+    "WS_BASE = \"wss://stream.binance.com:9443/ws\""
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "id": "cff459c9",
+   "metadata": {},
+   "source": [
+    "## Enfoque A: Partial Book Depth (simple, sin sync)\n",
+    "\n",
+    "Stream `<symbol>@depth<levels>@100ms` — recibe snapshot completo del top N cada 100ms.\n",
+    "\n",
+    "Ideal para monitoreo rapido sin necesidad de mantener estado."
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "id": "bf70712b",
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "async def stream_top_book(symbol: str, levels: int = 10, snapshots: int = 50) -> list[dict]:\n",
+    "    \"\"\"Captura N snapshots del top del order book.\"\"\"\n",
+    "    url = f\"{WS_BASE}/{symbol.lower()}@depth{levels}@100ms\"\n",
+    "    results = []\n",
+    "\n",
+    "    async with websockets.connect(url) as ws:\n",
+    "        while len(results) < snapshots:\n",
+    "            data = json.loads(await ws.recv())\n",
+    "            best_bid = (float(data[\"bids\"][0][0]), float(data[\"bids\"][0][1]))\n",
+    "            best_ask = (float(data[\"asks\"][0][0]), float(data[\"asks\"][0][1]))\n",
+    "            spread = best_ask[0] - best_bid[0]\n",
+    "            mid = (best_bid[0] + best_ask[0]) / 2\n",
+    "            results.append({\n",
+    "                \"time\": pd.Timestamp.now(tz=\"UTC\"),\n",
+    "                \"best_bid\": best_bid[0], \"bid_qty\": best_bid[1],\n",
+    "                \"best_ask\": best_ask[0], \"ask_qty\": best_ask[1],\n",
+    "                \"spread\": spread, \"spread_bps\": (spread / mid) * 10000,\n",
+    "                \"bids\": [(float(p), float(q)) for p, q in data[\"bids\"]],\n",
+    "                \"asks\": [(float(p), float(q)) for p, q in data[\"asks\"]],\n",
+    "            })\n",
+    "\n",
+    "    return results"
+   ]
+  }
+ ],
+ "metadata": {
+  "kernelspec": {
+   "display_name": "Python 3 (ipykernel)",
+   "language": "python",
+   "name": "python3"
+  },
+  "language_info": {
+   "codemirror_mode": {
+    "name": "ipython",
+    "version": 3
+   },
+   "file_extension": ".py",
+   "mimetype": "text/x-python",
+   "name": "python",
+   "nbconvert_exporter": "python",
+   "pygments_lexer": "ipython3",
+   "version": "3.13.7"
+  }
+ },
+ "nbformat": 4,
+ "nbformat_minor": 5
+}
@@ -0,0 +1,137 @@
+{
+ "cells": [
+  {
+   "cell_type": "markdown",
+   "id": "c4c1bfe6",
+   "metadata": {},
+   "source": [
+    "# 04 — Trading Programatico (Binance API)\n",
+    "\n",
+    "Operaciones de trading via REST API con autenticacion HMAC-SHA256.\n",
+    "\n",
+    "**Autenticacion:** Cada request firmado necesita:\n",
+    "1. Header `X-MBX-APIKEY` con tu API key\n",
+    "2. Parametro `timestamp` (unix ms, dentro de 5000ms del server)\n",
+    "3. Parametro `signature` = HMAC-SHA256(query_string, secret_key)\n",
+    "\n",
+    "**Endpoints de trading (Spot):**\n",
+    "| Accion | Metodo | Endpoint | Weight |\n",
+    "|---|---|---|---|\n",
+    "| Crear orden | POST | `/api/v3/order` | 1 |\n",
+    "| Test orden | POST | `/api/v3/order/test` | 1 |\n",
+    "| Cancelar orden | DELETE | `/api/v3/order` | 1 |\n",
+    "| Cancelar todas | DELETE | `/api/v3/openOrders` | 1 |\n",
+    "| Ver orden | GET | `/api/v3/order` | 4 |\n",
+    "| Ordenes abiertas | GET | `/api/v3/openOrders` | 6 |\n",
+    "| Cuenta/balances | GET | `/api/v3/account` | 20 |\n",
+    "| Mis trades | GET | `/api/v3/myTrades` | 20 |\n",
+    "\n",
+    "**Tipos de orden:** MARKET, LIMIT (GTC/IOC/FOK), STOP_LOSS_LIMIT, TAKE_PROFIT_LIMIT, LIMIT_MAKER\n",
+    "\n",
+    "**TESTNET:** `https://testnet.binance.vision` — mismo API, balances gratis, keys via GitHub login"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "id": "599a54e7",
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "import hashlib\n",
+    "import hmac\n",
+    "import time\n",
+    "import math\n",
+    "import requests\n",
+    "import pandas as pd\n",
+    "\n",
+    "# --- CONFIGURACION ---\n",
+    "# Para testnet (seguro para pruebas):\n",
+    "BASE = \"https://testnet.binance.vision\"\n",
+    "# Para produccion (dinero real):\n",
+    "# BASE = \"https://api.binance.com\"\n",
+    "\n",
+    "# Crea tus keys en https://testnet.binance.vision (login con GitHub)\n",
+    "API_KEY = \"\"      # <-- tu API key aqui\n",
+    "API_SECRET = \"\"   # <-- tu secret aqui"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "id": "acc0b354",
+   "metadata": {},
+   "source": [
+    "## Firma HMAC-SHA256\n",
+    "\n",
+    "Toda request autenticada requiere `timestamp` + `signature`. La firma es HMAC del query string completo."
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "id": "3fa09567",
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "def signed_request(method: str, endpoint: str, params: dict | None = None) -> dict:\n",
+    "    \"\"\"Request firmado a Binance API (funciona con testnet y produccion).\"\"\"\n",
+    "    if params is None:\n",
+    "        params = {}\n",
+    "\n",
+    "    params[\"timestamp\"] = int(time.time() * 1000)\n",
+    "    params[\"recvWindow\"] = 5000\n",
+    "\n",
+    "    query_string = \"&\".join(f\"{k}={v}\" for k, v in params.items())\n",
+    "    signature = hmac.new(\n",
+    "        API_SECRET.encode(), query_string.encode(), hashlib.sha256\n",
+    "    ).hexdigest()\n",
+    "    params[\"signature\"] = signature\n",
+    "\n",
+    "    headers = {\"X-MBX-APIKEY\": API_KEY}\n",
+    "\n",
+    "    if method == \"GET\":\n",
+    "        resp = requests.get(f\"{BASE}{endpoint}\", params=params, headers=headers)\n",
+    "    elif method == \"POST\":\n",
+    "        resp = requests.post(f\"{BASE}{endpoint}\", params=params, headers=headers)\n",
+    "    elif method == \"DELETE\":\n",
+    "        resp = requests.delete(f\"{BASE}{endpoint}\", params=params, headers=headers)\n",
+    "    else:\n",
+    "        raise ValueError(f\"Metodo no soportado: {method}\")\n",
+    "\n",
+    "    resp.raise_for_status()\n",
+    "    return resp.json()"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "id": "725c3d14",
+   "metadata": {},
+   "source": [
+    "## Consultar informacion del simbolo (filtros de ordenes)\n",
+    "\n",
+    "Antes de operar, hay que conocer los filtros: `LOT_SIZE` (min/max qty, step), `PRICE_FILTER` (tick size), `NOTIONAL` (min valor en quote)."
+   ]
+  }
+ ],
+ "metadata": {
+  "kernelspec": {
+   "display_name": "Python 3 (ipykernel)",
+   "language": "python",
+   "name": "python3"
+  },
+  "language_info": {
+   "codemirror_mode": {
+    "name": "ipython",
+    "version": 3
+   },
+   "file_extension": ".py",
+   "mimetype": "text/x-python",
+   "name": "python",
+   "nbconvert_exporter": "python",
+   "pygments_lexer": "ipython3",
+   "version": "3.13.7"
+  }
+ },
+ "nbformat": 4,
+ "nbformat_minor": 5
+}