mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-13 02:23:51 +00:00
Merge pull request #255 from c9s/fix/binance-depth-stream
fix: binance depth stream buffering
This commit is contained in:
commit
7188f021e9
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@ -48,16 +48,8 @@ var rootCmd = &cobra.Command{
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stream.SetPublicOnly()
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stream.SetPublicOnly()
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stream.Subscribe(types.BookChannel, symbol, types.SubscribeOptions{})
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stream.Subscribe(types.BookChannel, symbol, types.SubscribeOptions{})
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stream.OnBookSnapshot(func(book types.SliceOrderBook) {
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streamBook := types.NewStreamBook(symbol)
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// log.Infof("book snapshot: %+v", book)
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streamBook.BindStream(stream)
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})
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stream.OnBookUpdate(func(book types.SliceOrderBook) {
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// log.Infof("book update: %+v", book)
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})
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streambook := types.NewStreamBook(symbol)
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streambook.BindStream(stream)
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go func() {
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go func() {
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for {
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for {
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@ -66,12 +58,12 @@ var rootCmd = &cobra.Command{
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case <-ctx.Done():
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case <-ctx.Done():
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return
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return
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case <-streambook.C:
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case <-streamBook.C:
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book := streambook.Copy()
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book := streamBook.Copy()
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if valid, err := book.IsValid(); !valid {
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if valid, err := book.IsValid(); !valid {
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log.Errorf("order book is invalid, error: %v", err)
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log.Errorf("order book is invalid, error: %v", err)
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return
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continue
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}
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}
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bestBid, hasBid := book.BestBid()
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bestBid, hasBid := book.BestBid()
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@ -3,6 +3,7 @@ package binance
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import (
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import (
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"fmt"
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"fmt"
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"strconv"
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"strconv"
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"strings"
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"time"
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"time"
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"github.com/adshao/go-binance/v2"
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"github.com/adshao/go-binance/v2"
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@ -283,3 +284,19 @@ func ConvertTrades(remoteTrades []*binance.TradeV3) (trades []types.Trade, err e
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return trades, err
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return trades, err
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}
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}
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func convertSubscription(s types.Subscription) string {
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// binance uses lower case symbol name,
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// for kline, it's "<symbol>@kline_<interval>"
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// for depth, it's "<symbol>@depth OR <symbol>@depth@100ms"
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switch s.Channel {
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case types.KLineChannel:
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return fmt.Sprintf("%s@%s_%s", strings.ToLower(s.Symbol), s.Channel, s.Options.String())
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case types.BookChannel:
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return fmt.Sprintf("%s@depth", strings.ToLower(s.Symbol))
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}
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return fmt.Sprintf("%s@%s", strings.ToLower(s.Symbol), s.Channel)
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}
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@ -2,7 +2,6 @@ package binance
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import (
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import (
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"context"
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"context"
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"math/rand"
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"sync"
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"sync"
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"time"
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"time"
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@ -11,28 +10,51 @@ import (
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//go:generate callbackgen -type DepthFrame
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//go:generate callbackgen -type DepthFrame
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type DepthFrame struct {
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type DepthFrame struct {
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Symbol string
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client *binance.Client
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client *binance.Client
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context context.Context
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context context.Context
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mu sync.Mutex
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snapshotMutex sync.Mutex
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snapshotDepth *DepthEvent
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bufMutex sync.Mutex
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bufEvents []DepthEvent
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once sync.Once
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once sync.Once
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SnapshotDepth *DepthEvent
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Symbol string
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BufEvents []DepthEvent
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readyCallbacks []func(snapshotDepth DepthEvent, bufEvents []DepthEvent)
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readyCallbacks []func(snapshotDepth DepthEvent, bufEvents []DepthEvent)
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pushCallbacks []func(e DepthEvent)
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pushCallbacks []func(e DepthEvent)
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}
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}
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func (f *DepthFrame) reset() {
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func (f *DepthFrame) reset() {
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f.mu.Lock()
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if debugBinanceDepth {
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f.SnapshotDepth = nil
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log.Infof("resetting %s depth frame", f.Symbol)
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f.BufEvents = nil
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}
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f.mu.Unlock()
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f.bufMutex.Lock()
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f.bufEvents = nil
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f.bufMutex.Unlock()
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f.snapshotMutex.Lock()
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f.snapshotDepth = nil
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f.once = sync.Once{}
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f.snapshotMutex.Unlock()
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}
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func (f *DepthFrame) bufferEvent(e DepthEvent) {
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if debugBinanceDepth {
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log.Infof("buffering %s depth event FirstUpdateID = %d, FinalUpdateID = %d", f.Symbol, e.FirstUpdateID, e.FinalUpdateID)
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}
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f.bufMutex.Lock()
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f.bufEvents = append(f.bufEvents, e)
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f.bufMutex.Unlock()
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}
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}
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func (f *DepthFrame) loadDepthSnapshot() {
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func (f *DepthFrame) loadDepthSnapshot() {
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f.mu.Lock()
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log.Infof("buffering %s depth events for 3 seconds...", f.Symbol)
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time.Sleep(3 * time.Second)
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if debugBinanceDepth {
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if debugBinanceDepth {
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log.Infof("loading %s depth from the restful api", f.Symbol)
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log.Infof("loading %s depth from the restful api", f.Symbol)
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@ -41,29 +63,52 @@ func (f *DepthFrame) loadDepthSnapshot() {
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depth, err := f.fetch(f.context)
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depth, err := f.fetch(f.context)
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if err != nil {
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if err != nil {
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log.WithError(err).Errorf("depth api error")
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log.WithError(err).Errorf("depth api error")
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f.mu.Unlock()
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return
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return
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}
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}
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if len(depth.Asks) == 0 {
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if len(depth.Asks) == 0 {
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log.Errorf("depth response error: empty asks")
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log.Errorf("depth response error: empty asks")
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f.mu.Unlock()
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return
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return
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}
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}
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if len(depth.Bids) == 0 {
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if len(depth.Bids) == 0 {
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log.Errorf("depth response error: empty bids")
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log.Errorf("depth response error: empty bids")
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f.mu.Unlock()
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return
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return
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}
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}
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if debugBinanceDepth {
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log.Infof("loaded %s depth, last update ID = %d", f.Symbol, depth.FinalUpdateID)
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}
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f.snapshotMutex.Lock()
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f.snapshotDepth = depth
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f.snapshotMutex.Unlock()
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// filter the events by the event IDs
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// filter the events by the event IDs
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f.bufMutex.Lock()
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bufEvents := f.bufEvents
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f.bufEvents = nil
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f.bufMutex.Unlock()
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var events []DepthEvent
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var events []DepthEvent
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for _, e := range f.BufEvents {
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for _, e := range bufEvents {
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if e.FirstUpdateID <= depth.FinalUpdateID || e.FinalUpdateID <= depth.FinalUpdateID {
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if e.FinalUpdateID < depth.FinalUpdateID {
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if debugBinanceDepth {
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log.Infof("DROP %s depth event (final update id is %d older than the last update), updateID %d ~ %d (len %d)",
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f.Symbol,
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depth.FinalUpdateID-e.FinalUpdateID,
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e.FirstUpdateID, e.FinalUpdateID, e.FinalUpdateID-e.FirstUpdateID)
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}
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continue
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continue
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}
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}
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if debugBinanceDepth {
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log.Infof("KEEP %s depth event, updateID %d ~ %d (len %d)",
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f.Symbol,
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e.FirstUpdateID, e.FinalUpdateID, e.FinalUpdateID-e.FirstUpdateID)
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}
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events = append(events, e)
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events = append(events, e)
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}
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}
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@ -72,85 +117,68 @@ func (f *DepthFrame) loadDepthSnapshot() {
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// if the head event is newer than the depth we got,
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// if the head event is newer than the depth we got,
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// then there are something missed, we need to restart the process.
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// then there are something missed, we need to restart the process.
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if len(events) > 0 {
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if len(events) > 0 {
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// The first processed event should have U (final update ID) <= lastUpdateId+1 AND (first update id) >= lastUpdateId+1.
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firstEvent := events[0]
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firstEvent := events[0]
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if firstEvent.FirstUpdateID > depth.FinalUpdateID+1 {
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// valid
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nextID := depth.FinalUpdateID + 1
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if firstEvent.FirstUpdateID > nextID || firstEvent.FinalUpdateID < nextID {
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log.Warn("miss matched final update id for order book, resetting depth...")
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log.Warn("miss matched final update id for order book, resetting depth...")
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f.SnapshotDepth = nil
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f.reset()
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f.BufEvents = nil
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f.mu.Unlock()
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return
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return
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}
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}
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if debugBinanceDepth {
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log.Infof("VALID first %s depth event, updateID %d ~ %d (len %d)",
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f.Symbol,
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firstEvent.FirstUpdateID, firstEvent.FinalUpdateID, firstEvent.FinalUpdateID-firstEvent.FirstUpdateID)
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}
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}
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}
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f.SnapshotDepth = depth
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if debugBinanceDepth {
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f.BufEvents = nil
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log.Infof("READY %s depth, %d bufferred events", f.Symbol, len(events))
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f.mu.Unlock()
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}
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f.EmitReady(*depth, events)
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f.EmitReady(*depth, events)
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}
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}
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func (f *DepthFrame) PushEvent(e DepthEvent) {
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func (f *DepthFrame) PushEvent(e DepthEvent) {
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f.mu.Lock()
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f.snapshotMutex.Lock()
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snapshot := f.snapshotDepth
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f.snapshotMutex.Unlock()
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// before the snapshot is loaded, we need to buffer the events until we loaded the snapshot.
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// before the snapshot is loaded, we need to buffer the events until we loaded the snapshot.
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if f.SnapshotDepth == nil {
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if snapshot == nil {
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// buffer the events until we loaded the snapshot
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// buffer the events until we loaded the snapshot
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f.BufEvents = append(f.BufEvents, e)
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f.bufferEvent(e)
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f.mu.Unlock()
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f.loadDepthSnapshot()
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// start a worker to update the snapshot periodically.
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go f.once.Do(func() {
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go f.once.Do(func() {
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if debugBinanceDepth {
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log.Infof("starting depth snapshot updater for %s market", f.Symbol)
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}
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ticker := time.NewTicker(30*time.Minute + time.Duration(rand.Intn(10))*time.Millisecond)
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defer ticker.Stop()
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for {
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select {
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case <-f.context.Done():
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return
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|
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case <-ticker.C:
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f.loadDepthSnapshot()
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f.loadDepthSnapshot()
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}
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|
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}
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|
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})
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})
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} else {
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// if we have the snapshot, we could use that final update ID filter the events
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|
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// too old: drop any update ID < the final update ID
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|
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if e.FinalUpdateID < f.SnapshotDepth.FinalUpdateID {
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if debugBinanceDepth {
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log.Warnf("event final update id %d < depth final update id %d, skip", e.FinalUpdateID, f.SnapshotDepth.FinalUpdateID)
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}
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|
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|
|
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f.mu.Unlock()
|
|
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return
|
return
|
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}
|
}
|
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|
|
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// too new: if the first update ID > final update ID + 1, it means something is missing, we need to reload.
|
// drop old events
|
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if e.FirstUpdateID > f.SnapshotDepth.FinalUpdateID+1 {
|
if e.FinalUpdateID <= snapshot.FinalUpdateID {
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if debugBinanceDepth {
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log.Infof("DROP %s depth update event, updateID %d ~ %d (len %d)",
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log.Warnf("event first update id %d > final update id + 1 (%d), resetting snapshot", e.FirstUpdateID, f.SnapshotDepth.FirstUpdateID+1)
|
f.Symbol,
|
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}
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e.FirstUpdateID, e.FinalUpdateID, e.FinalUpdateID-e.FirstUpdateID)
|
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|
|
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f.SnapshotDepth = nil
|
|
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|
|
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// save the new event for later
|
|
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f.BufEvents = append(f.BufEvents, e)
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|
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f.mu.Unlock()
|
|
||||||
return
|
return
|
||||||
}
|
}
|
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|
|
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// update the final update ID, so that we can check the next event
|
if e.FirstUpdateID > snapshot.FinalUpdateID+1 {
|
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f.SnapshotDepth.FinalUpdateID = e.FinalUpdateID
|
log.Infof("MISSING %s depth update event, resetting, updateID %d ~ %d (len %d)",
|
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f.mu.Unlock()
|
f.Symbol,
|
||||||
|
e.FirstUpdateID, e.FinalUpdateID, e.FinalUpdateID-e.FirstUpdateID)
|
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|
|
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|
f.reset()
|
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|
return
|
||||||
|
}
|
||||||
|
|
||||||
|
f.snapshotMutex.Lock()
|
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|
f.snapshotDepth.FinalUpdateID = e.FinalUpdateID
|
||||||
|
f.snapshotMutex.Unlock()
|
||||||
f.EmitPush(e)
|
f.EmitPush(e)
|
||||||
}
|
|
||||||
}
|
}
|
||||||
|
|
||||||
// fetch fetches the depth and convert to the depth event so that we can reuse the event structure to convert it to the global orderbook type
|
// fetch fetches the depth and convert to the depth event so that we can reuse the event structure to convert it to the global orderbook type
|
||||||
|
@ -165,6 +193,7 @@ func (f *DepthFrame) fetch(ctx context.Context) (*DepthEvent, error) {
|
||||||
}
|
}
|
||||||
|
|
||||||
event := DepthEvent{
|
event := DepthEvent{
|
||||||
|
Symbol: f.Symbol,
|
||||||
FirstUpdateID: 0,
|
FirstUpdateID: 0,
|
||||||
FinalUpdateID: response.LastUpdateID,
|
FinalUpdateID: response.LastUpdateID,
|
||||||
}
|
}
|
||||||
|
|
|
@ -319,17 +319,40 @@ type DepthEvent struct {
|
||||||
Asks []DepthEntry
|
Asks []DepthEntry
|
||||||
}
|
}
|
||||||
|
|
||||||
|
func (e *DepthEvent) String() (o string) {
|
||||||
|
o += fmt.Sprintf("Depth %s bid/ask = ", e.Symbol)
|
||||||
|
|
||||||
|
if len(e.Bids) == 0 {
|
||||||
|
o += "empty"
|
||||||
|
} else {
|
||||||
|
o += e.Bids[0].PriceLevel
|
||||||
|
}
|
||||||
|
|
||||||
|
o += "/"
|
||||||
|
|
||||||
|
if len(e.Asks) == 0 {
|
||||||
|
o += "empty"
|
||||||
|
} else {
|
||||||
|
o += e.Asks[0].PriceLevel
|
||||||
|
}
|
||||||
|
|
||||||
|
o += fmt.Sprintf(" %d ~ %d", e.FirstUpdateID, e.FinalUpdateID)
|
||||||
|
return o
|
||||||
|
}
|
||||||
|
|
||||||
func (e *DepthEvent) OrderBook() (book types.SliceOrderBook, err error) {
|
func (e *DepthEvent) OrderBook() (book types.SliceOrderBook, err error) {
|
||||||
book.Symbol = e.Symbol
|
book.Symbol = e.Symbol
|
||||||
|
|
||||||
for _, entry := range e.Bids {
|
for _, entry := range e.Bids {
|
||||||
quantity, err := fixedpoint.NewFromString(entry.Quantity)
|
quantity, err := fixedpoint.NewFromString(entry.Quantity)
|
||||||
if err != nil {
|
if err != nil {
|
||||||
|
log.WithError(err).Errorf("depth quantity parse error: %s", entry.Quantity)
|
||||||
continue
|
continue
|
||||||
}
|
}
|
||||||
|
|
||||||
price, err := fixedpoint.NewFromString(entry.PriceLevel)
|
price, err := fixedpoint.NewFromString(entry.PriceLevel)
|
||||||
if err != nil {
|
if err != nil {
|
||||||
|
log.WithError(err).Errorf("depth price parse error: %s", entry.PriceLevel)
|
||||||
continue
|
continue
|
||||||
}
|
}
|
||||||
|
|
||||||
|
@ -344,11 +367,13 @@ func (e *DepthEvent) OrderBook() (book types.SliceOrderBook, err error) {
|
||||||
for _, entry := range e.Asks {
|
for _, entry := range e.Asks {
|
||||||
quantity, err := fixedpoint.NewFromString(entry.Quantity)
|
quantity, err := fixedpoint.NewFromString(entry.Quantity)
|
||||||
if err != nil {
|
if err != nil {
|
||||||
|
log.WithError(err).Errorf("depth quantity parse error: %s", entry.Quantity)
|
||||||
continue
|
continue
|
||||||
}
|
}
|
||||||
|
|
||||||
price, err := fixedpoint.NewFromString(entry.PriceLevel)
|
price, err := fixedpoint.NewFromString(entry.PriceLevel)
|
||||||
if err != nil {
|
if err != nil {
|
||||||
|
log.WithError(err).Errorf("depth price parse error: %s", entry.PriceLevel)
|
||||||
continue
|
continue
|
||||||
}
|
}
|
||||||
|
|
||||||
|
@ -360,7 +385,7 @@ func (e *DepthEvent) OrderBook() (book types.SliceOrderBook, err error) {
|
||||||
book.Asks = book.Asks.Upsert(pv, false)
|
book.Asks = book.Asks.Upsert(pv, false)
|
||||||
}
|
}
|
||||||
|
|
||||||
return
|
return book, nil
|
||||||
}
|
}
|
||||||
|
|
||||||
func parseDepthEntry(val *fastjson.Value) (*DepthEntry, error) {
|
func parseDepthEntry(val *fastjson.Value) (*DepthEntry, error) {
|
||||||
|
|
|
@ -2,8 +2,8 @@ package binance
|
||||||
|
|
||||||
import (
|
import (
|
||||||
"context"
|
"context"
|
||||||
"fmt"
|
|
||||||
"math/rand"
|
"math/rand"
|
||||||
|
"net"
|
||||||
"os"
|
"os"
|
||||||
"strconv"
|
"strconv"
|
||||||
"strings"
|
"strings"
|
||||||
|
@ -46,6 +46,10 @@ type Stream struct {
|
||||||
ListenKey string
|
ListenKey string
|
||||||
Conn *websocket.Conn
|
Conn *websocket.Conn
|
||||||
connLock sync.Mutex
|
connLock sync.Mutex
|
||||||
|
reconnectC chan struct{}
|
||||||
|
|
||||||
|
connCtx context.Context
|
||||||
|
connCancel context.CancelFunc
|
||||||
|
|
||||||
publicOnly bool
|
publicOnly bool
|
||||||
|
|
||||||
|
@ -66,9 +70,14 @@ func NewStream(client *binance.Client) *Stream {
|
||||||
stream := &Stream{
|
stream := &Stream{
|
||||||
Client: client,
|
Client: client,
|
||||||
depthFrames: make(map[string]*DepthFrame),
|
depthFrames: make(map[string]*DepthFrame),
|
||||||
|
reconnectC: make(chan struct{}, 1),
|
||||||
}
|
}
|
||||||
|
|
||||||
stream.OnDepthEvent(func(e *DepthEvent) {
|
stream.OnDepthEvent(func(e *DepthEvent) {
|
||||||
|
if debugBinanceDepth {
|
||||||
|
log.Infof("received %s depth event updateID %d ~ %d (len %d)", e.Symbol, e.FirstUpdateID, e.FinalUpdateID, e.FinalUpdateID-e.FirstUpdateID)
|
||||||
|
}
|
||||||
|
|
||||||
f, ok := stream.depthFrames[e.Symbol]
|
f, ok := stream.depthFrames[e.Symbol]
|
||||||
if !ok {
|
if !ok {
|
||||||
f = &DepthFrame{
|
f = &DepthFrame{
|
||||||
|
@ -79,27 +88,29 @@ func NewStream(client *binance.Client) *Stream {
|
||||||
|
|
||||||
stream.depthFrames[e.Symbol] = f
|
stream.depthFrames[e.Symbol] = f
|
||||||
|
|
||||||
f.OnReady(func(e DepthEvent, bufEvents []DepthEvent) {
|
f.OnReady(func(snapshotDepth DepthEvent, bufEvents []DepthEvent) {
|
||||||
snapshot, err := e.OrderBook()
|
log.Infof("depth snapshot: %s", snapshotDepth.String())
|
||||||
|
|
||||||
|
snapshot, err := snapshotDepth.OrderBook()
|
||||||
if err != nil {
|
if err != nil {
|
||||||
log.WithError(err).Error("book snapshot convert error")
|
log.WithError(err).Error("book snapshot convert error")
|
||||||
return
|
return
|
||||||
}
|
}
|
||||||
|
|
||||||
if valid, err := snapshot.IsValid(); !valid {
|
if valid, err := snapshot.IsValid(); !valid {
|
||||||
log.Warnf("depth snapshot is invalid, event: %+v, error: %v", e, err)
|
log.Errorf("depth snapshot is invalid, event: %+v, error: %v", snapshotDepth, err)
|
||||||
}
|
}
|
||||||
|
|
||||||
stream.EmitBookSnapshot(snapshot)
|
stream.EmitBookSnapshot(snapshot)
|
||||||
|
|
||||||
for _, e := range bufEvents {
|
for _, e := range bufEvents {
|
||||||
book, err := e.OrderBook()
|
bookUpdate, err := e.OrderBook()
|
||||||
if err != nil {
|
if err != nil {
|
||||||
log.WithError(err).Error("book convert error")
|
log.WithError(err).Error("book convert error")
|
||||||
return
|
return
|
||||||
}
|
}
|
||||||
|
|
||||||
stream.EmitBookUpdate(book)
|
stream.EmitBookUpdate(bookUpdate)
|
||||||
}
|
}
|
||||||
})
|
})
|
||||||
|
|
||||||
|
@ -175,13 +186,14 @@ func NewStream(client *binance.Client) *Stream {
|
||||||
}
|
}
|
||||||
})
|
})
|
||||||
|
|
||||||
stream.OnConnect(func() {
|
stream.OnDisconnect(func() {
|
||||||
// reset the previous frames
|
log.Infof("resetting depth snapshots...")
|
||||||
for _, f := range stream.depthFrames {
|
for _, f := range stream.depthFrames {
|
||||||
f.reset()
|
f.reset()
|
||||||
f.loadDepthSnapshot()
|
|
||||||
}
|
}
|
||||||
|
})
|
||||||
|
|
||||||
|
stream.OnConnect(func() {
|
||||||
var params []string
|
var params []string
|
||||||
for _, subscription := range stream.Subscriptions {
|
for _, subscription := range stream.Subscriptions {
|
||||||
params = append(params, convertSubscription(subscription))
|
params = append(params, convertSubscription(subscription))
|
||||||
|
@ -261,49 +273,11 @@ func (s *Stream) keepaliveListenKey(ctx context.Context, listenKey string) error
|
||||||
return s.Client.NewKeepaliveUserStreamService().ListenKey(listenKey).Do(ctx)
|
return s.Client.NewKeepaliveUserStreamService().ListenKey(listenKey).Do(ctx)
|
||||||
}
|
}
|
||||||
|
|
||||||
func (s *Stream) connect(ctx context.Context) error {
|
func (s *Stream) emitReconnect() {
|
||||||
if s.publicOnly {
|
select {
|
||||||
log.Infof("stream is set to public only mode")
|
case s.reconnectC <- struct{}{}:
|
||||||
} else {
|
default:
|
||||||
log.Infof("request listen key for creating user data stream...")
|
|
||||||
|
|
||||||
listenKey, err := s.fetchListenKey(ctx)
|
|
||||||
if err != nil {
|
|
||||||
return err
|
|
||||||
}
|
}
|
||||||
|
|
||||||
s.ListenKey = listenKey
|
|
||||||
log.Infof("user data stream created. listenKey: %s", maskListenKey(s.ListenKey))
|
|
||||||
}
|
|
||||||
|
|
||||||
conn, err := s.dial(s.ListenKey)
|
|
||||||
if err != nil {
|
|
||||||
return err
|
|
||||||
}
|
|
||||||
|
|
||||||
log.Infof("websocket connected")
|
|
||||||
|
|
||||||
s.connLock.Lock()
|
|
||||||
s.Conn = conn
|
|
||||||
s.connLock.Unlock()
|
|
||||||
|
|
||||||
s.EmitConnect()
|
|
||||||
return nil
|
|
||||||
}
|
|
||||||
|
|
||||||
func convertSubscription(s types.Subscription) string {
|
|
||||||
// binance uses lower case symbol name,
|
|
||||||
// for kline, it's "<symbol>@kline_<interval>"
|
|
||||||
// for depth, it's "<symbol>@depth OR <symbol>@depth@100ms"
|
|
||||||
switch s.Channel {
|
|
||||||
case types.KLineChannel:
|
|
||||||
return fmt.Sprintf("%s@%s_%s", strings.ToLower(s.Symbol), s.Channel, s.Options.String())
|
|
||||||
|
|
||||||
case types.BookChannel:
|
|
||||||
return fmt.Sprintf("%s@depth", strings.ToLower(s.Symbol))
|
|
||||||
}
|
|
||||||
|
|
||||||
return fmt.Sprintf("%s@%s", strings.ToLower(s.Symbol), s.Channel)
|
|
||||||
}
|
}
|
||||||
|
|
||||||
func (s *Stream) Connect(ctx context.Context) error {
|
func (s *Stream) Connect(ctx context.Context) error {
|
||||||
|
@ -312,43 +286,112 @@ func (s *Stream) Connect(ctx context.Context) error {
|
||||||
return err
|
return err
|
||||||
}
|
}
|
||||||
|
|
||||||
go s.read(ctx)
|
// start one re-connector goroutine with the base context
|
||||||
|
go s.reconnector(ctx)
|
||||||
|
|
||||||
s.EmitStart()
|
s.EmitStart()
|
||||||
return nil
|
return nil
|
||||||
}
|
}
|
||||||
|
|
||||||
func (s *Stream) read(ctx context.Context) {
|
func (s *Stream) reconnector(ctx context.Context) {
|
||||||
|
for {
|
||||||
|
select {
|
||||||
|
case <-ctx.Done():
|
||||||
|
return
|
||||||
|
|
||||||
pingTicker := time.NewTicker(10 * time.Second)
|
case <-s.reconnectC:
|
||||||
|
// ensure the previous context is cancelled
|
||||||
|
if s.connCancel != nil {
|
||||||
|
s.connCancel()
|
||||||
|
}
|
||||||
|
|
||||||
|
log.Warnf("received reconnect signal, reconnecting...")
|
||||||
|
time.Sleep(3 * time.Second)
|
||||||
|
|
||||||
|
if err := s.connect(ctx); err != nil {
|
||||||
|
log.WithError(err).Errorf("connect error, try to reconnect again...")
|
||||||
|
s.emitReconnect()
|
||||||
|
}
|
||||||
|
}
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
|
func (s *Stream) connect(ctx context.Context) error {
|
||||||
|
// should only start one connection one time, so we lock the mutex
|
||||||
|
s.connLock.Lock()
|
||||||
|
|
||||||
|
// create a new context
|
||||||
|
s.connCtx, s.connCancel = context.WithCancel(ctx)
|
||||||
|
|
||||||
|
if s.publicOnly {
|
||||||
|
log.Infof("stream is set to public only mode")
|
||||||
|
} else {
|
||||||
|
log.Infof("request listen key for creating user data stream...")
|
||||||
|
|
||||||
|
listenKey, err := s.fetchListenKey(ctx)
|
||||||
|
if err != nil {
|
||||||
|
s.connCancel()
|
||||||
|
s.connLock.Unlock()
|
||||||
|
return err
|
||||||
|
}
|
||||||
|
|
||||||
|
s.ListenKey = listenKey
|
||||||
|
log.Infof("user data stream created. listenKey: %s", maskListenKey(s.ListenKey))
|
||||||
|
|
||||||
|
go s.listenKeyKeepAlive(s.connCtx, listenKey)
|
||||||
|
}
|
||||||
|
|
||||||
|
// when in public mode, the listen key is an empty string
|
||||||
|
conn, err := s.dial(s.ListenKey)
|
||||||
|
if err != nil {
|
||||||
|
s.connCancel()
|
||||||
|
s.connLock.Unlock()
|
||||||
|
return err
|
||||||
|
}
|
||||||
|
|
||||||
|
log.Infof("websocket connected")
|
||||||
|
|
||||||
|
s.Conn = conn
|
||||||
|
s.connLock.Unlock()
|
||||||
|
|
||||||
|
s.EmitConnect()
|
||||||
|
|
||||||
|
go s.read(s.connCtx)
|
||||||
|
go s.ping(s.connCtx)
|
||||||
|
return nil
|
||||||
|
}
|
||||||
|
|
||||||
|
func (s *Stream) ping(ctx context.Context) {
|
||||||
|
pingTicker := time.NewTicker(15 * time.Second)
|
||||||
defer pingTicker.Stop()
|
defer pingTicker.Stop()
|
||||||
|
|
||||||
keepAliveTicker := time.NewTicker(5 * time.Minute)
|
|
||||||
defer keepAliveTicker.Stop()
|
|
||||||
|
|
||||||
go func() {
|
|
||||||
for {
|
for {
|
||||||
select {
|
select {
|
||||||
|
|
||||||
case <-ctx.Done():
|
case <-ctx.Done():
|
||||||
|
log.Info("ping worker stopped")
|
||||||
return
|
return
|
||||||
|
|
||||||
case <-pingTicker.C:
|
case <-pingTicker.C:
|
||||||
s.connLock.Lock()
|
s.connLock.Lock()
|
||||||
if err := s.Conn.WriteControl(websocket.PingMessage, []byte("hb"), time.Now().Add(3*time.Second)); err != nil {
|
if err := s.Conn.WriteControl(websocket.PingMessage, []byte("hb"), time.Now().Add(3*time.Second)); err != nil {
|
||||||
log.WithError(err).Error("ping error", err)
|
log.WithError(err).Error("ping error", err)
|
||||||
|
s.emitReconnect()
|
||||||
}
|
}
|
||||||
|
|
||||||
s.connLock.Unlock()
|
s.connLock.Unlock()
|
||||||
|
}
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
case <-keepAliveTicker.C:
|
func (s *Stream) listenKeyKeepAlive(ctx context.Context, listenKey string) {
|
||||||
if !s.publicOnly {
|
keepAliveTicker := time.NewTicker(5 * time.Minute)
|
||||||
if err := s.keepaliveListenKey(ctx, s.ListenKey); err != nil {
|
defer keepAliveTicker.Stop()
|
||||||
log.WithError(err).Errorf("listen key keep-alive error: %v key: %s", err, maskListenKey(s.ListenKey))
|
|
||||||
}
|
|
||||||
}
|
|
||||||
|
|
||||||
}
|
// if we exit, we should invalidate the existing listen key
|
||||||
|
defer func() {
|
||||||
|
log.Info("keepalive worker stopped")
|
||||||
|
if err := s.invalidateListenKey(ctx, listenKey); err != nil {
|
||||||
|
log.WithError(err).Error("invalidate listen key error")
|
||||||
}
|
}
|
||||||
}()
|
}()
|
||||||
|
|
||||||
|
@ -358,40 +401,65 @@ func (s *Stream) read(ctx context.Context) {
|
||||||
case <-ctx.Done():
|
case <-ctx.Done():
|
||||||
return
|
return
|
||||||
|
|
||||||
default:
|
case <-keepAliveTicker.C:
|
||||||
if err := s.Conn.SetReadDeadline(time.Now().Add(3 * time.Minute)); err != nil {
|
if err := s.keepaliveListenKey(ctx, listenKey); err != nil {
|
||||||
log.WithError(err).Errorf("set read deadline error: %s", err.Error())
|
log.WithError(err).Errorf("listen key keep-alive error: %v key: %s", err, maskListenKey(listenKey))
|
||||||
|
s.emitReconnect()
|
||||||
|
return
|
||||||
}
|
}
|
||||||
|
|
||||||
mt, message, err := s.Conn.ReadMessage()
|
|
||||||
if err != nil {
|
|
||||||
if websocket.IsUnexpectedCloseError(err, websocket.CloseGoingAway) {
|
|
||||||
log.WithError(err).Errorf("read error: %s", err.Error())
|
|
||||||
} else {
|
|
||||||
log.Info("websocket connection closed, going away")
|
|
||||||
}
|
}
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
|
func (s *Stream) read(ctx context.Context) {
|
||||||
|
defer func() {
|
||||||
|
if s.connCancel != nil {
|
||||||
|
s.connCancel()
|
||||||
|
}
|
||||||
s.EmitDisconnect()
|
s.EmitDisconnect()
|
||||||
|
}()
|
||||||
|
|
||||||
// reconnect
|
for {
|
||||||
for err != nil {
|
|
||||||
select {
|
select {
|
||||||
|
|
||||||
case <-ctx.Done():
|
case <-ctx.Done():
|
||||||
return
|
return
|
||||||
|
|
||||||
default:
|
default:
|
||||||
if !s.publicOnly {
|
s.connLock.Lock()
|
||||||
if err := s.invalidateListenKey(ctx, s.ListenKey); err != nil {
|
if err := s.Conn.SetReadDeadline(time.Now().Add(5 * time.Second)); err != nil {
|
||||||
log.WithError(err).Error("invalidate listen key error")
|
log.WithError(err).Errorf("set read deadline error: %s", err.Error())
|
||||||
}
|
|
||||||
}
|
}
|
||||||
|
|
||||||
err = s.connect(ctx)
|
mt, message, err := s.Conn.ReadMessage()
|
||||||
time.Sleep(5 * time.Second)
|
s.connLock.Unlock()
|
||||||
}
|
|
||||||
|
if err != nil {
|
||||||
|
// if it's a network timeout error, we should re-connect
|
||||||
|
switch err := err.(type) {
|
||||||
|
|
||||||
|
// if it's a websocket related error
|
||||||
|
case *websocket.CloseError:
|
||||||
|
if err.Code == websocket.CloseNormalClosure {
|
||||||
|
return
|
||||||
}
|
}
|
||||||
|
|
||||||
continue
|
// for unexpected close error, we should re-connect
|
||||||
|
// emit reconnect to start a new connection
|
||||||
|
s.emitReconnect()
|
||||||
|
return
|
||||||
|
|
||||||
|
case net.Error:
|
||||||
|
log.WithError(err).Error("network error")
|
||||||
|
s.emitReconnect()
|
||||||
|
return
|
||||||
|
|
||||||
|
default:
|
||||||
|
log.WithError(err).Error("unexpected connection error")
|
||||||
|
s.emitReconnect()
|
||||||
|
return
|
||||||
|
}
|
||||||
}
|
}
|
||||||
|
|
||||||
// skip non-text messages
|
// skip non-text messages
|
||||||
|
@ -465,17 +533,14 @@ func (s *Stream) invalidateListenKey(ctx context.Context, listenKey string) (err
|
||||||
func (s *Stream) Close() error {
|
func (s *Stream) Close() error {
|
||||||
log.Infof("closing user data stream...")
|
log.Infof("closing user data stream...")
|
||||||
|
|
||||||
if !s.publicOnly {
|
if s.connCancel != nil {
|
||||||
if err := s.invalidateListenKey(context.Background(), s.ListenKey); err != nil {
|
s.connCancel()
|
||||||
log.WithError(err).Error("invalidate listen key error")
|
|
||||||
}
|
|
||||||
log.Infof("user data stream closed")
|
|
||||||
}
|
}
|
||||||
|
|
||||||
s.connLock.Lock()
|
s.connLock.Lock()
|
||||||
defer s.connLock.Unlock()
|
err := s.Conn.Close()
|
||||||
|
s.connLock.Unlock()
|
||||||
return s.Conn.Close()
|
return err
|
||||||
}
|
}
|
||||||
|
|
||||||
func maskListenKey(listenKey string) string {
|
func maskListenKey(listenKey string) string {
|
||||||
|
|
|
@ -52,6 +52,27 @@ func NewMutexOrderBook(symbol string) *MutexOrderBook {
|
||||||
}
|
}
|
||||||
}
|
}
|
||||||
|
|
||||||
|
func (b *MutexOrderBook) IsValid() (ok bool, err error) {
|
||||||
|
b.Lock()
|
||||||
|
ok, err = b.OrderBook.IsValid()
|
||||||
|
b.Unlock()
|
||||||
|
return ok, err
|
||||||
|
}
|
||||||
|
|
||||||
|
func (b *MutexOrderBook) BestBid() (pv PriceVolume, ok bool) {
|
||||||
|
b.Lock()
|
||||||
|
pv, ok = b.OrderBook.BestBid()
|
||||||
|
b.Unlock()
|
||||||
|
return pv, ok
|
||||||
|
}
|
||||||
|
|
||||||
|
func (b *MutexOrderBook) BestAsk() (pv PriceVolume, ok bool) {
|
||||||
|
b.Lock()
|
||||||
|
pv, ok = b.OrderBook.BestAsk()
|
||||||
|
b.Unlock()
|
||||||
|
return pv, ok
|
||||||
|
}
|
||||||
|
|
||||||
func (b *MutexOrderBook) Load(book SliceOrderBook) {
|
func (b *MutexOrderBook) Load(book SliceOrderBook) {
|
||||||
b.Lock()
|
b.Lock()
|
||||||
b.OrderBook.Load(book)
|
b.OrderBook.Load(book)
|
||||||
|
@ -66,14 +87,16 @@ func (b *MutexOrderBook) Reset() {
|
||||||
|
|
||||||
func (b *MutexOrderBook) CopyDepth(depth int) OrderBook {
|
func (b *MutexOrderBook) CopyDepth(depth int) OrderBook {
|
||||||
b.Lock()
|
b.Lock()
|
||||||
defer b.Unlock()
|
book := b.OrderBook.CopyDepth(depth)
|
||||||
return b.OrderBook.CopyDepth(depth)
|
b.Unlock()
|
||||||
|
return book
|
||||||
}
|
}
|
||||||
|
|
||||||
func (b *MutexOrderBook) Copy() OrderBook {
|
func (b *MutexOrderBook) Copy() OrderBook {
|
||||||
b.Lock()
|
b.Lock()
|
||||||
defer b.Unlock()
|
book := b.OrderBook.Copy()
|
||||||
return b.OrderBook.Copy()
|
b.Unlock()
|
||||||
|
return book
|
||||||
}
|
}
|
||||||
|
|
||||||
func (b *MutexOrderBook) Update(update SliceOrderBook) {
|
func (b *MutexOrderBook) Update(update SliceOrderBook) {
|
||||||
|
|
|
@ -93,10 +93,10 @@ func (b *SliceOrderBook) PriceVolumesBySide(side SideType) PriceVolumeSlice {
|
||||||
switch side {
|
switch side {
|
||||||
|
|
||||||
case SideTypeBuy:
|
case SideTypeBuy:
|
||||||
return b.Bids
|
return b.Bids.Copy()
|
||||||
|
|
||||||
case SideTypeSell:
|
case SideTypeSell:
|
||||||
return b.Asks
|
return b.Asks.Copy()
|
||||||
}
|
}
|
||||||
|
|
||||||
return nil
|
return nil
|
||||||
|
@ -122,11 +122,6 @@ func (b *SliceOrderBook) updateBids(pvs PriceVolumeSlice) {
|
||||||
}
|
}
|
||||||
}
|
}
|
||||||
|
|
||||||
func (b *SliceOrderBook) load(book SliceOrderBook) {
|
|
||||||
b.Reset()
|
|
||||||
b.update(book)
|
|
||||||
}
|
|
||||||
|
|
||||||
func (b *SliceOrderBook) update(book SliceOrderBook) {
|
func (b *SliceOrderBook) update(book SliceOrderBook) {
|
||||||
b.updateBids(book.Bids)
|
b.updateBids(book.Bids)
|
||||||
b.updateAsks(book.Asks)
|
b.updateAsks(book.Asks)
|
||||||
|
@ -138,7 +133,8 @@ func (b *SliceOrderBook) Reset() {
|
||||||
}
|
}
|
||||||
|
|
||||||
func (b *SliceOrderBook) Load(book SliceOrderBook) {
|
func (b *SliceOrderBook) Load(book SliceOrderBook) {
|
||||||
b.load(book)
|
b.Reset()
|
||||||
|
b.update(book)
|
||||||
b.EmitLoad(b)
|
b.EmitLoad(b)
|
||||||
}
|
}
|
||||||
|
|
||||||
|
|
Loading…
Reference in New Issue
Block a user