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FEATURE: [binance] add update when first receive the orderbook event

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This commit is contained in:
kbearXD 2024-11-13 15:33:03 +08:00
parent ce6667268c
commit f8bd8e4164
1 changed files with 10 additions and 11 deletions
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21
pkg/exchange/binance/stream.go
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@ -86,17 +86,7 @@ func NewStream(ex *Exchange, client *binance.Client, futuresClient *futures.Clie
stream.OnDepthEvent(func(e *DepthEvent) { stream.OnDepthEvent(func(e *DepthEvent) {
f, ok := stream.depthBuffers[e.Symbol] f, ok := stream.depthBuffers[e.Symbol]
if ok { if !ok {
err := f.AddUpdate(types.SliceOrderBook{
Symbol: e.Symbol,
Time: e.EventBase.Time.Time(),
Bids: e.Bids,
Asks: e.Asks,
}, e.FirstUpdateID, e.FinalUpdateID)
if err != nil {
log.WithError(err).Errorf("found missing %s update event", e.Symbol)
}
} else {
f = depth.NewBuffer(func() (types.SliceOrderBook, int64, error) { f = depth.NewBuffer(func() (types.SliceOrderBook, int64, error) {
log.Infof("fetching %s depth...", e.Symbol) log.Infof("fetching %s depth...", e.Symbol)
return ex.QueryDepth(context.Background(), e.Symbol) return ex.QueryDepth(context.Background(), e.Symbol)
@ -113,6 +103,15 @@ func NewStream(ex *Exchange, client *binance.Client, futuresClient *futures.Clie
}) })
stream.depthBuffers[e.Symbol] = f stream.depthBuffers[e.Symbol] = f
} }
if err := f.AddUpdate(types.SliceOrderBook{
Symbol: e.Symbol,
Time: e.EventBase.Time.Time(),
Bids: e.Bids,
Asks: e.Asks,
}, e.FirstUpdateID, e.FinalUpdateID); err != nil {
log.WithError(err).Errorf("found missing %s update event", e.Symbol)
}
}) })
stream.OnOutboundAccountPositionEvent(stream.handleOutboundAccountPositionEvent) stream.OnOutboundAccountPositionEvent(stream.handleOutboundAccountPositionEvent)