bbgo_origin/pkg/exchange/binance/stream.go

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package binance
import (
"context"
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"net"
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"time"
"github.com/c9s/bbgo/pkg/depth"
"github.com/c9s/bbgo/pkg/util"
"github.com/adshao/go-binance/v2"
"github.com/adshao/go-binance/v2/futures"
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"github.com/c9s/bbgo/pkg/types"
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)
// from Binance document:
// The websocket server will send a ping frame every 3 minutes.
// If the websocket server does not receive a pong frame back from the connection within a 10 minute period, the connection will be disconnected.
// Unsolicited pong frames are allowed.
// WebSocket connections have a limit of 5 incoming messages per second. A message is considered:
// A PING frame
// A PONG frame
// A JSON controlled message (e.g. subscribe, unsubscribe)
const listenKeyKeepAliveInterval = 15 * time.Minute
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type WebSocketCommand struct {
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// request ID is required
ID int `json:"id"`
Method string `json:"method"`
Params []string `json:"params"`
}
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//go:generate callbackgen -type Stream -interface
type Stream struct {
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types.MarginSettings
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types.FuturesSettings
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types.StandardStream
client *binance.Client
futuresClient *futures.Client
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// custom callbacks
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depthEventCallbacks []func(e *DepthEvent)
kLineEventCallbacks []func(e *KLineEvent)
kLineClosedEventCallbacks []func(e *KLineEvent)
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markPriceUpdateEventCallbacks []func(e *MarkPriceUpdateEvent)
marketTradeEventCallbacks []func(e *MarketTradeEvent)
continuousKLineEventCallbacks []func(e *ContinuousKLineEvent)
continuousKLineClosedEventCallbacks []func(e *ContinuousKLineEvent)
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balanceUpdateEventCallbacks []func(event *BalanceUpdateEvent)
outboundAccountInfoEventCallbacks []func(event *OutboundAccountInfoEvent)
outboundAccountPositionEventCallbacks []func(event *OutboundAccountPositionEvent)
executionReportEventCallbacks []func(event *ExecutionReportEvent)
bookTickerEventCallbacks []func(event *BookTickerEvent)
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orderTradeUpdateEventCallbacks []func(e *OrderTradeUpdateEvent)
accountUpdateEventCallbacks []func(e *AccountUpdateEvent)
accountConfigUpdateEventCallbacks []func(e *AccountConfigUpdateEvent)
depthBuffers map[string]*depth.Buffer
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}
func NewStream(ex *Exchange, client *binance.Client, futuresClient *futures.Client) *Stream {
stream := &Stream{
StandardStream: types.NewStandardStream(),
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client: client,
futuresClient: futuresClient,
depthBuffers: make(map[string]*depth.Buffer),
}
stream.SetParser(parseWebSocketEvent)
stream.SetDispatcher(stream.dispatchEvent)
stream.SetEndpointCreator(stream.createEndpoint)
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stream.OnDepthEvent(func(e *DepthEvent) {
f, ok := stream.depthBuffers[e.Symbol]
if ok {
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err := f.AddUpdate(types.SliceOrderBook{
Symbol: e.Symbol,
Bids: e.Bids,
Asks: e.Asks,
}, e.FirstUpdateID, e.FinalUpdateID)
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if err != nil {
log.WithError(err).Errorf("found missing %s update event", e.Symbol)
}
} else {
f = depth.NewBuffer(func() (types.SliceOrderBook, int64, error) {
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log.Infof("fetching %s depth...", e.Symbol)
return ex.QueryDepth(context.Background(), e.Symbol)
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})
f.SetBufferingPeriod(time.Second)
f.OnReady(func(snapshot types.SliceOrderBook, updates []depth.Update) {
if valid, err := snapshot.IsValid(); !valid {
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log.Errorf("%s depth snapshot is invalid, error: %v", e.Symbol, err)
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return
}
stream.EmitBookSnapshot(snapshot)
for _, u := range updates {
stream.EmitBookUpdate(u.Object)
}
})
f.OnPush(func(update depth.Update) {
stream.EmitBookUpdate(update.Object)
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})
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stream.depthBuffers[e.Symbol] = f
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}
})
stream.OnOutboundAccountPositionEvent(stream.handleOutboundAccountPositionEvent)
stream.OnKLineEvent(stream.handleKLineEvent)
stream.OnBookTickerEvent(stream.handleBookTickerEvent)
stream.OnExecutionReportEvent(stream.handleExecutionReportEvent)
stream.OnContinuousKLineEvent(stream.handleContinuousKLineEvent)
stream.OnMarketTradeEvent(stream.handleMarketTradeEvent)
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// Event type ACCOUNT_UPDATE from user data stream updates Balance and FuturesPosition.
stream.OnAccountUpdateEvent(stream.handleAccountUpdateEvent)
stream.OnAccountConfigUpdateEvent(stream.handleAccountConfigUpdateEvent)
stream.OnOrderTradeUpdateEvent(stream.handleOrderTradeUpdateEvent)
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stream.OnDisconnect(stream.handleDisconnect)
stream.OnConnect(stream.handleConnect)
return stream
}
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func (s *Stream) handleDisconnect() {
log.Debugf("resetting depth snapshots...")
for _, f := range s.depthBuffers {
f.Reset()
}
}
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func (s *Stream) handleConnect() {
if !s.PublicOnly {
return
}
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var params []string
for _, subscription := range s.Subscriptions {
params = append(params, convertSubscription(subscription))
}
if len(params) == 0 {
return
}
log.Infof("subscribing channels: %+v", params)
err := s.Conn.WriteJSON(WebSocketCommand{
Method: "SUBSCRIBE",
Params: params,
ID: 1,
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})
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if err != nil {
log.WithError(err).Error("subscribe error")
}
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}
func (s *Stream) handleContinuousKLineEvent(e *ContinuousKLineEvent) {
kline := e.KLine.KLine()
if e.KLine.Closed {
s.EmitContinuousKLineClosedEvent(e)
s.EmitKLineClosed(kline)
} else {
s.EmitKLine(kline)
}
}
func (s *Stream) handleExecutionReportEvent(e *ExecutionReportEvent) {
switch e.CurrentExecutionType {
case "NEW", "CANCELED", "REJECTED", "EXPIRED", "REPLACED":
order, err := e.Order()
if err != nil {
log.WithError(err).Error("order convert error")
return
}
s.EmitOrderUpdate(*order)
case "TRADE":
trade, err := e.Trade()
if err != nil {
log.WithError(err).Error("trade convert error")
return
}
s.EmitTradeUpdate(*trade)
order, err := e.Order()
if err != nil {
log.WithError(err).Error("order convert error")
return
}
// Update Order with FILLED event
if order.Status == types.OrderStatusFilled {
s.EmitOrderUpdate(*order)
}
}
}
func (s *Stream) handleBookTickerEvent(e *BookTickerEvent) {
s.EmitBookTickerUpdate(e.BookTicker())
}
func (s *Stream) handleMarketTradeEvent(e *MarketTradeEvent) {
s.EmitMarketTrade(e.Trade())
}
func (s *Stream) handleKLineEvent(e *KLineEvent) {
kline := e.KLine.KLine()
if e.KLine.Closed {
s.EmitKLineClosedEvent(e)
s.EmitKLineClosed(kline)
} else {
s.EmitKLine(kline)
}
}
func (s *Stream) handleOutboundAccountPositionEvent(e *OutboundAccountPositionEvent) {
snapshot := types.BalanceMap{}
for _, balance := range e.Balances {
snapshot[balance.Asset] = types.Balance{
Currency: balance.Asset,
Available: balance.Free,
Locked: balance.Locked,
}
}
s.EmitBalanceSnapshot(snapshot)
}
func (s *Stream) handleAccountUpdateEvent(e *AccountUpdateEvent) {
futuresPositionSnapshot := toGlobalFuturesPositions(e.AccountUpdate.Positions)
s.EmitFuturesPositionSnapshot(futuresPositionSnapshot)
balanceSnapshot := toGlobalFuturesBalance(e.AccountUpdate.Balances)
s.EmitBalanceSnapshot(balanceSnapshot)
}
// TODO: emit account config leverage updates
func (s *Stream) handleAccountConfigUpdateEvent(e *AccountConfigUpdateEvent) {
}
func (s *Stream) handleOrderTradeUpdateEvent(e *OrderTradeUpdateEvent) {
switch e.OrderTrade.CurrentExecutionType {
case "NEW", "CANCELED", "EXPIRED":
order, err := e.OrderFutures()
if err != nil {
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log.WithError(err).Error("futures order convert error")
return
}
s.EmitOrderUpdate(*order)
case "TRADE":
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trade, err := e.TradeFutures()
if err != nil {
log.WithError(err).Error("futures trade convert error")
return
}
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s.EmitTradeUpdate(*trade)
order, err := e.OrderFutures()
if err != nil {
log.WithError(err).Error("futures order convert error")
return
}
// Update Order with FILLED event
if order.Status == types.OrderStatusFilled {
s.EmitOrderUpdate(*order)
}
case "CALCULATED - Liquidation Execution":
log.Infof("CALCULATED - Liquidation Execution not support yet.")
}
}
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func (s *Stream) getEndpointUrl(listenKey string) string {
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var url string
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if s.IsFutures {
url = FuturesWebSocketURL + "/ws"
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} else if isBinanceUs() {
url = BinanceUSWebSocketURL + "/ws"
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} else {
url = WebSocketURL + "/ws"
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}
if !s.PublicOnly {
url += "/" + listenKey
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}
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return url
}
func (s *Stream) createEndpoint(ctx context.Context) (string, error) {
var err error
var listenKey string
if s.PublicOnly {
log.Debugf("stream is set to public only mode")
} else {
listenKey, err = s.fetchListenKey(ctx)
if err != nil {
return "", err
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}
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log.Debugf("listen key is created: %s", util.MaskKey(listenKey))
go s.listenKeyKeepAlive(ctx, listenKey)
}
url := s.getEndpointUrl(listenKey)
return url, nil
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}
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func (s *Stream) dispatchEvent(e interface{}) {
switch e := e.(type) {
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case *OutboundAccountPositionEvent:
s.EmitOutboundAccountPositionEvent(e)
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case *OutboundAccountInfoEvent:
s.EmitOutboundAccountInfoEvent(e)
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case *BalanceUpdateEvent:
s.EmitBalanceUpdateEvent(e)
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case *MarketTradeEvent:
s.EmitMarketTradeEvent(e)
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case *KLineEvent:
s.EmitKLineEvent(e)
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case *BookTickerEvent:
s.EmitBookTickerEvent(e)
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case *DepthEvent:
s.EmitDepthEvent(e)
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case *ExecutionReportEvent:
s.EmitExecutionReportEvent(e)
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case *MarkPriceUpdateEvent:
s.EmitMarkPriceUpdateEvent(e)
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case *ContinuousKLineEvent:
s.EmitContinuousKLineEvent(e)
case *OrderTradeUpdateEvent:
s.EmitOrderTradeUpdateEvent(e)
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case *AccountUpdateEvent:
s.EmitAccountUpdateEvent(e)
case *AccountConfigUpdateEvent:
s.EmitAccountConfigUpdateEvent(e)
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}
}
func (s *Stream) fetchListenKey(ctx context.Context) (string, error) {
if s.IsMargin {
if s.IsIsolatedMargin {
log.Debugf("isolated margin %s is enabled, requesting margin user stream listen key...", s.IsolatedMarginSymbol)
req := s.client.NewStartIsolatedMarginUserStreamService()
req.Symbol(s.IsolatedMarginSymbol)
return req.Do(ctx)
}
log.Debugf("margin mode is enabled, requesting margin user stream listen key...")
req := s.client.NewStartMarginUserStreamService()
return req.Do(ctx)
} else if s.IsFutures {
log.Debugf("futures mode is enabled, requesting futures user stream listen key...")
req := s.futuresClient.NewStartUserStreamService()
return req.Do(ctx)
}
log.Debugf("spot mode is enabled, requesting user stream listen key...")
return s.client.NewStartUserStreamService().Do(ctx)
}
func (s *Stream) keepaliveListenKey(ctx context.Context, listenKey string) error {
log.Debugf("keepalive listen key: %s", util.MaskKey(listenKey))
if s.IsMargin {
if s.IsIsolatedMargin {
req := s.client.NewKeepaliveIsolatedMarginUserStreamService().ListenKey(listenKey)
req.Symbol(s.IsolatedMarginSymbol)
return req.Do(ctx)
}
req := s.client.NewKeepaliveMarginUserStreamService().ListenKey(listenKey)
return req.Do(ctx)
} else if s.IsFutures {
req := s.futuresClient.NewKeepaliveUserStreamService().ListenKey(listenKey)
return req.Do(ctx)
}
return s.client.NewKeepaliveUserStreamService().ListenKey(listenKey).Do(ctx)
}
func (s *Stream) closeListenKey(ctx context.Context, listenKey string) (err error) {
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// should use background context to invalidate the user stream
log.Debugf("closing listen key: %s", util.MaskKey(listenKey))
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if s.IsMargin {
if s.IsIsolatedMargin {
req := s.client.NewCloseIsolatedMarginUserStreamService().ListenKey(listenKey)
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req.Symbol(s.IsolatedMarginSymbol)
err = req.Do(ctx)
} else {
req := s.client.NewCloseMarginUserStreamService().ListenKey(listenKey)
err = req.Do(ctx)
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}
} else if s.IsFutures {
req := s.futuresClient.NewCloseUserStreamService().ListenKey(listenKey)
err = req.Do(ctx)
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} else {
err = s.client.NewCloseUserStreamService().ListenKey(listenKey).Do(ctx)
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}
return err
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}
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// listenKeyKeepAlive
// From Binance
// Keepalive a user data stream to prevent a time out. User data streams will close after 60 minutes.
// It's recommended to send a ping about every 30 minutes.
func (s *Stream) listenKeyKeepAlive(ctx context.Context, listenKey string) {
keepAliveTicker := time.NewTicker(listenKeyKeepAliveInterval)
defer keepAliveTicker.Stop()
// if we exit, we should invalidate the existing listen key
defer func() {
log.Debugf("keepalive worker stopped")
if err := s.closeListenKey(context.Background(), listenKey); err != nil {
log.WithError(err).Errorf("close listen key error: %v key: %s", err, util.MaskKey(listenKey))
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}
}()
log.Debugf("starting listen key keep alive worker with interval %s, listen key = %s", listenKeyKeepAliveInterval, util.MaskKey(listenKey))
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for {
select {
case <-s.CloseC:
return
case <-ctx.Done():
return
case <-keepAliveTicker.C:
for i := 0; i < 5; i++ {
err := s.keepaliveListenKey(ctx, listenKey)
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if err != nil {
time.Sleep(5 * time.Second)
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switch err.(type) {
case net.Error:
log.WithError(err).Errorf("listen key keep-alive network error: %v key: %s", err, util.MaskKey(listenKey))
continue
default:
log.WithError(err).Errorf("listen key keep-alive unexpected error: %v key: %s", err, util.MaskKey(listenKey))
s.Reconnect()
return
}
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} else {
break
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}
}
}
}
}