package binance import ( "context" "fmt" "strings" "time" "github.com/c9s/bbgo/pkg/util" "github.com/adshao/go-binance" "github.com/gorilla/websocket" "github.com/c9s/bbgo/pkg/bbgo/types" ) type StreamRequest struct { // request ID is required ID int `json:"id"` Method string `json:"method"` Params []string `json:"params"` } //go:generate callbackgen -type Stream -interface type Stream struct { types.StandardStream Client *binance.Client ListenKey string Conn *websocket.Conn connectCallbacks []func(stream *Stream) // custom callbacks kLineEventCallbacks []func(e *KLineEvent) kLineClosedEventCallbacks []func(e *KLineEvent) balanceUpdateEventCallbacks []func(event *BalanceUpdateEvent) outboundAccountInfoEventCallbacks []func(event *OutboundAccountInfoEvent) executionReportEventCallbacks []func(event *ExecutionReportEvent) } func (s *Stream) dial(listenKey string) (*websocket.Conn, error) { url := "wss://stream.binance.com:9443/ws/" + listenKey conn, _, err := websocket.DefaultDialer.Dial(url, nil) if err != nil { return nil, err } return conn, nil } func (s *Stream) connect(ctx context.Context) error { log.Infof("[binance] creating user data stream...") listenKey, err := s.Client.NewStartUserStreamService().Do(ctx) if err != nil { return err } s.ListenKey = listenKey log.Infof("[binance] user data stream created. listenKey: %s", s.ListenKey) conn, err := s.dial(s.ListenKey) if err != nil { return err } log.Infof("[binance] websocket connected") s.Conn = conn s.EmitConnect(s) var params []string for _, subscription := range s.Subscriptions { params = append(params, convertSubscription(subscription)) } log.Infof("[binance] subscribing channels: %+v", params) return conn.WriteJSON(StreamRequest{ Method: "SUBSCRIBE", Params: params, ID: 1, }) } func convertSubscription(s types.Subscription) string { // binance uses lower case symbol name, // for kline, it's "@kline_" // for depth, it's "@depth OR @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 { err := s.connect(ctx) if err != nil { return err } go s.read(ctx) return nil } func (s *Stream) read(ctx context.Context) { pingTicker := time.NewTicker(1 * time.Minute) defer pingTicker.Stop() keepAliveTicker := time.NewTicker(5 * time.Minute) defer keepAliveTicker.Stop() for { select { case <-ctx.Done(): return case <-keepAliveTicker.C: err := s.Client.NewKeepaliveUserStreamService().ListenKey(s.ListenKey).Do(ctx) if err != nil { log.WithError(err).Errorf("listen key keep-alive error: %v key: %s", err, maskListenKey(s.ListenKey)) } case <-pingTicker.C: if err := s.Conn.WriteControl(websocket.PingMessage, []byte("hb"), time.Now().Add(1*time.Second)); err != nil { log.WithError(err).Error("ping error", err) } default: if err := s.Conn.SetReadDeadline(time.Now().Add(30 * time.Second)); err != nil { log.WithError(err).Errorf("set read deadline error: %s", err.Error()) } mt, message, err := s.Conn.ReadMessage() if err != nil { if websocket.IsUnexpectedCloseError(err, websocket.CloseGoingAway) { log.WithError(err).Errorf("read error: %s", err.Error()) } // reconnect for err != nil { select { case <-ctx.Done(): return default: _ = s.invalidateListenKey(ctx, s.ListenKey) err = s.connect(ctx) time.Sleep(5 * time.Second) } } continue } // skip non-text messages if mt != websocket.TextMessage { continue } log.Debugf("[binance] recv: %s", message) e, err := ParseEvent(string(message)) if err != nil { log.WithError(err).Errorf("[binance] event parse error") continue } // log.Notify("[binance] event: %+v", e) switch e := e.(type) { case *OutboundAccountInfoEvent: log.Info(e.Event, " ", e.Balances) s.EmitOutboundAccountInfoEvent(e) snapshot := map[string]types.Balance{} for _, balance := range e.Balances { available := util.MustParseFloat(balance.Free) locked := util.MustParseFloat(balance.Locked) snapshot[balance.Asset] = types.Balance{ Currency: balance.Asset, Available: available, Locked: locked, } } s.EmitBalanceSnapshot(snapshot) case *BalanceUpdateEvent: log.Info(e.Event, " ", e.Asset, " ", e.Delta) s.EmitBalanceUpdateEvent(e) case *KLineEvent: log.Info(e.Event, " ", e.KLine, " ", e.KLine.Interval) s.EmitKLineEvent(e) if e.KLine.Closed { s.EmitKLineClosedEvent(e) s.EmitKLineClosed(e.KLine.KLine()) } case *ExecutionReportEvent: log.Info(e.Event, " ", e) s.EmitExecutionReportEvent(e) switch e.CurrentExecutionType { case "TRADE": trade, err := e.Trade() if err != nil { break } s.EmitTrade(trade) } } } } } func (s *Stream) invalidateListenKey(ctx context.Context, listenKey string) error { // use background context to invalidate the user stream err := s.Client.NewCloseUserStreamService().ListenKey(listenKey).Do(ctx) if err != nil { log.WithError(err).Error("[binance] error deleting listen key") return err } return nil } func (s *Stream) Close() error { log.Infof("[binance] closing user data stream...") defer s.Conn.Close() err := s.invalidateListenKey(context.Background(), s.ListenKey) log.Infof("[binance] user data stream closed") return err } func maskListenKey(listenKey string) string { maskKey := listenKey[0:5] return maskKey + strings.Repeat("*", len(listenKey)-1-5) }