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refactor private stream
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parent
778d046820
commit
338d2443b9
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@ -2,16 +2,154 @@ package bbgo
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import (
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"context"
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"fmt"
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"github.com/adshao/go-binance"
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"github.com/gorilla/websocket"
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log "github.com/sirupsen/logrus"
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"strconv"
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"time"
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)
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type SubscribeOptions struct {
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Interval string
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Depth string
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}
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func (o SubscribeOptions) String() string {
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if len(o.Interval) > 0 {
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return o.Interval
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}
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return o.Depth
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}
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type Subscription struct {
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Symbol string
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Channel string
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Options SubscribeOptions
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}
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func (s *Subscription) String() string {
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return fmt.Sprintf("%s@%s_%s", s.Symbol, s.Channel, s.Options.String())
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}
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type StreamCommand struct {
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ID int `json:"id,omitempty"`
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Method string `json:"method"`
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Params []string `json:"params"`
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}
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type PrivateStream struct {
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Client *binance.Client
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ListenKey string
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Conn *websocket.Conn
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Subscriptions []Subscription
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}
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func (s *PrivateStream) Subscribe(channel string, symbol string, options SubscribeOptions) {
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s.Subscriptions = append(s.Subscriptions, Subscription{
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Channel: channel,
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Symbol: symbol,
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Options: options,
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})
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}
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func (s *PrivateStream) Connect(ctx context.Context) error {
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url := "wss://stream.binance.com:9443/ws/" + s.ListenKey
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conn, _, err := websocket.DefaultDialer.Dial(url, nil)
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if err != nil {
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return err
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}
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log.Infof("[binance] websocket connected")
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s.Conn = conn
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var params []string
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for _, subscription := range s.Subscriptions {
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params = append(params, subscription.String())
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}
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log.Infof("[binance] subscribing channels: %+v", params)
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err = conn.WriteJSON(StreamCommand{
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Method: "SUBSCRIBE",
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Params: params,
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ID: 1,
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})
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if err != nil {
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return err
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}
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return nil
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}
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func (s *PrivateStream) Read(ctx context.Context, messages chan []byte) {
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defer close(messages)
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ticker := time.NewTicker(1 * time.Minute)
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defer ticker.Stop()
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for {
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select {
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case <-ctx.Done():
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return
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case <-ticker.C:
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err := s.Client.NewKeepaliveUserStreamService().ListenKey(s.ListenKey).Do(ctx)
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if err != nil {
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log.WithError(err).Error("listen key keep-alive error", err)
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}
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default:
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if err := s.Conn.SetReadDeadline(time.Now().Add(time.Minute)); err != nil {
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log.WithError(err).Errorf("set read deadline error", err)
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}
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_, message, err := s.Conn.ReadMessage()
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if err != nil {
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log.WithError(err).Errorf("read error", err)
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return
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}
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log.Debugf("[binance] recv: %s", message)
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messages <- message
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}
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}
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}
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func (s *PrivateStream) Close() error {
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log.Infof("[binance] closing user data stream...")
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defer s.Conn.Close()
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// use background context to close user stream
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err := s.Client.NewCloseUserStreamService().ListenKey(s.ListenKey).Do(context.Background())
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if err != nil {
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log.WithError(err).Error("[binance] error close user data stream")
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return err
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}
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return err
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}
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type BinanceExchange struct {
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Client *binance.Client
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}
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func (e *BinanceExchange) NewPrivateStream(ctx context.Context) (*PrivateStream, error) {
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log.Infof("[binance] creating user data stream...")
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listenKey, err := e.Client.NewStartUserStreamService().Do(ctx)
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if err != nil {
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return nil, err
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}
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log.Infof("[binance] user data stream created. listenKey: %s", listenKey)
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return &PrivateStream{
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Client: e.Client,
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ListenKey: listenKey,
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}, nil
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}
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func (e *BinanceExchange) SubmitOrder(ctx context.Context, order *Order) error {
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/*
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limit order example
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@ -140,4 +278,3 @@ func (e *BinanceExchange) QueryTrades(ctx context.Context, market string, startT
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return trades, nil
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}
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@ -48,7 +48,7 @@ executionReport
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"Q": "0.00000000" // Quote Order Qty
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}
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*/
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type ExecutionReportEvent struct {
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type BinanceExecutionReportEvent struct {
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EventBase
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Symbol string `json:"s"`
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@ -82,7 +82,7 @@ type ExecutionReportEvent struct {
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OrderCreationTime int `json:"O"`
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}
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func (e *ExecutionReportEvent) Trade() (*Trade, error) {
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func (e *BinanceExecutionReportEvent) Trade() (*Trade, error) {
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if e.CurrentExecutionType != "TRADE" {
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return nil, errors.New("execution report is not a trade")
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}
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@ -112,7 +112,7 @@ balanceUpdate
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"T": 1573200697068 //Clear Time
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}
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*/
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type BalanceUpdateEvent struct {
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type BinanceBalanceUpdateEvent struct {
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EventBase
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Asset string `json:"a"`
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@ -173,6 +173,7 @@ type Balance struct {
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Free string `json:"f"`
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Locked string `json:"l"`
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}
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type OutboundAccountInfoEvent struct {
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EventBase
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@ -191,7 +192,7 @@ type OutboundAccountInfoEvent struct {
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Permissions []string `json:"P,omitempty"`
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}
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func ParseEvent(message string) (interface{}, error) {
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func ParseBinanceEvent(message string) (interface{}, error) {
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val, err := fastjson.Parse(message)
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if err != nil {
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return nil, err
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@ -211,12 +212,12 @@ func ParseEvent(message string) (interface{}, error) {
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return &event, err
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case "balanceUpdate":
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var event BalanceUpdateEvent
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var event BinanceBalanceUpdateEvent
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err := json.Unmarshal([]byte(message), &event)
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return &event, err
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case "executionReport":
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var event ExecutionReportEvent
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var event BinanceExecutionReportEvent
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err := json.Unmarshal([]byte(message), &event)
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return &event, err
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