package binance import ( "context" "math/rand" "net" "net/http" "os" "strconv" "strings" "sync" "time" "github.com/adshao/go-binance/v2" "github.com/adshao/go-binance/v2/futures" "github.com/gorilla/websocket" "github.com/c9s/bbgo/pkg/types" ) var debugBinanceDepth bool var defaultDialer = &websocket.Dialer{ Proxy: http.ProxyFromEnvironment, HandshakeTimeout: 45 * time.Second, ReadBufferSize: 4096 * 2, } // 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 readTimeout = 60 * time.Second const pongWaitTime = 10 * time.Second func init() { // randomize pulling rand.Seed(time.Now().UnixNano()) debugBinanceDepth, _ = strconv.ParseBool(os.Getenv("DEBUG_BINANCE_DEPTH")) if debugBinanceDepth { log.Info("binance depth debugging is enabled") } } 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.MarginSettings types.FuturesSettings types.StandardStream Client *binance.Client futuresClient *futures.Client Conn *websocket.Conn ConnLock sync.Mutex connCtx context.Context connCancel context.CancelFunc publicOnly bool // custom callbacks depthEventCallbacks []func(e *DepthEvent) kLineEventCallbacks []func(e *KLineEvent) kLineClosedEventCallbacks []func(e *KLineEvent) markPriceUpdateEventCallbacks []func(e *MarkPriceUpdateEvent) continuousKLineEventCallbacks []func(e *ContinuousKLineEvent) continuousKLineClosedEventCallbacks []func(e *ContinuousKLineEvent) balanceUpdateEventCallbacks []func(event *BalanceUpdateEvent) outboundAccountInfoEventCallbacks []func(event *OutboundAccountInfoEvent) outboundAccountPositionEventCallbacks []func(event *OutboundAccountPositionEvent) executionReportEventCallbacks []func(event *ExecutionReportEvent) orderTradeUpdateEventCallbacks []func(e *OrderTradeUpdateEvent) depthFrames map[string]*DepthFrame } func NewStream(client *binance.Client, futuresClient *futures.Client) *Stream { stream := &Stream{ StandardStream: types.StandardStream{ ReconnectC: make(chan struct{}, 1), }, Client: client, futuresClient: futuresClient, depthFrames: make(map[string]*DepthFrame), } 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] if !ok { f = &DepthFrame{ client: client, context: context.Background(), Symbol: e.Symbol, resetC: make(chan struct{}, 1), } stream.depthFrames[e.Symbol] = f f.OnReady(func(snapshotDepth DepthEvent, bufEvents []DepthEvent) { log.Infof("depth snapshot ready: %s", snapshotDepth.String()) snapshot, err := snapshotDepth.OrderBook() if err != nil { log.WithError(err).Error("book snapshot convert error") return } if valid, err := snapshot.IsValid(); !valid { log.Errorf("depth snapshot is invalid, event: %+v, error: %v", snapshotDepth, err) } stream.EmitBookSnapshot(snapshot) for _, e := range bufEvents { bookUpdate, err := e.OrderBook() if err != nil { log.WithError(err).Error("book convert error") return } stream.EmitBookUpdate(bookUpdate) } }) f.OnPush(func(e DepthEvent) { book, err := e.OrderBook() if err != nil { log.WithError(err).Error("book convert error") return } stream.EmitBookUpdate(book) }) } else { f.PushEvent(*e) } }) stream.OnOutboundAccountPositionEvent(func(e *OutboundAccountPositionEvent) { snapshot := types.BalanceMap{} for _, balance := range e.Balances { snapshot[balance.Asset] = types.Balance{ Currency: balance.Asset, Available: balance.Free, Locked: balance.Locked, } } stream.EmitBalanceSnapshot(snapshot) }) stream.OnKLineEvent(func(e *KLineEvent) { kline := e.KLine.KLine() if e.KLine.Closed { stream.EmitKLineClosedEvent(e) stream.EmitKLineClosed(kline) } else { stream.EmitKLine(kline) } }) stream.OnExecutionReportEvent(func(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 } stream.EmitOrderUpdate(*order) case "TRADE": trade, err := e.Trade() if err != nil { log.WithError(err).Error("trade convert error") return } stream.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 { stream.EmitOrderUpdate(*order) } } }) stream.OnContinuousKLineEvent(func(e *ContinuousKLineEvent) { kline := e.KLine.KLine() if e.KLine.Closed { stream.EmitContinuousKLineClosedEvent(e) stream.EmitKLineClosed(kline) } else { stream.EmitKLine(kline) } }) stream.OnOrderTradeUpdateEvent(func(e *OrderTradeUpdateEvent) { switch e.OrderTrade.CurrentExecutionType { case "NEW", "CANCELED", "EXPIRED": order, err := e.OrderFutures() if err != nil { log.WithError(err).Error("order convert error") return } stream.EmitOrderUpdate(*order) case "TRADE": // TODO // trade, err := e.Trade() // if err != nil { // log.WithError(err).Error("trade convert error") // return // } // stream.EmitTradeUpdate(*trade) // order, err := e.OrderFutures() // if err != nil { // log.WithError(err).Error("order convert error") // return // } // Update Order with FILLED event // if order.Status == types.OrderStatusFilled { // stream.EmitOrderUpdate(*order) // } case "CALCULATED - Liquidation Execution": log.Infof("CALCULATED - Liquidation Execution not support yet.") } }) stream.OnDisconnect(func() { log.Infof("resetting depth snapshots...") for _, f := range stream.depthFrames { f.emitReset() } }) stream.OnConnect(func() { var params []string for _, subscription := range stream.Subscriptions { params = append(params, convertSubscription(subscription)) } if len(params) == 0 { return } log.Infof("subscribing channels: %+v", params) err := stream.Conn.WriteJSON(StreamRequest{ Method: "SUBSCRIBE", Params: params, ID: 1, }) if err != nil { log.WithError(err).Error("subscribe error") } }) return stream } func (s *Stream) SetPublicOnly() { s.publicOnly = true } func (s *Stream) dial(listenKey string) (*websocket.Conn, error) { var url string if s.publicOnly { if s.IsFutures { url = "wss://fstream.binance.com/ws/" } else { url = "wss://stream.binance.com:9443/ws" } } else { if s.IsFutures { url = "wss://fstream.binance.com/ws/" + listenKey } else { url = "wss://stream.binance.com:9443/ws/" + listenKey } } conn, _, err := defaultDialer.Dial(url, nil) if err != nil { return nil, err } // use the default ping handler // 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. conn.SetPingHandler(nil) return conn, nil } func (s *Stream) fetchListenKey(ctx context.Context) (string, error) { if s.IsMargin { if s.IsIsolatedMargin { log.Infof("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.Infof("margin mode is enabled, requesting margin user stream listen key...") req := s.Client.NewStartMarginUserStreamService() return req.Do(ctx) } else if s.IsFutures { log.Infof("futures mode is enabled, requesting futures user stream listen key...") req := s.futuresClient.NewStartUserStreamService() return req.Do(ctx) } log.Infof("spot mode is enabled, requesting margin user stream listen key...") return s.Client.NewStartUserStreamService().Do(ctx) } func (s *Stream) keepaliveListenKey(ctx context.Context, listenKey string) error { 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) Connect(ctx context.Context) error { err := s.connect(ctx) if err != nil { return err } // start one re-connector goroutine with the base context go s.reconnector(ctx) s.EmitStart() return nil } func (s *Stream) reconnector(ctx context.Context) { for { select { case <-ctx.Done(): return case <-s.ReconnectC: 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.Reconnect() } } } } func (s *Stream) connect(ctx context.Context) error { var err error var listenKey string 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 { return err } log.Infof("listen key is created: %s", MaskKey(listenKey)) } // when in public mode, the listen key is an empty string conn, err := s.dial(listenKey) if err != nil { return err } log.Infof("websocket connected") // should only start one connection one time, so we lock the mutex s.ConnLock.Lock() // ensure the previous context is cancelled if s.connCancel != nil { s.connCancel() } // create a new context s.connCtx, s.connCancel = context.WithCancel(ctx) conn.SetPongHandler(func(string) error { if err := conn.SetReadDeadline(time.Now().Add(readTimeout * 2)); err != nil { log.WithError(err).Error("pong handler can not set read deadline") } return nil }) s.Conn = conn s.ConnLock.Unlock() s.EmitConnect() if !s.publicOnly { go s.listenKeyKeepAlive(s.connCtx, listenKey) } go s.read(s.connCtx) go s.ping(s.connCtx) return nil } func (s *Stream) ping(ctx context.Context) { pingTicker := time.NewTicker(readTimeout / 2) defer pingTicker.Stop() for { select { case <-ctx.Done(): log.Debug("ping worker stopped") return case <-pingTicker.C: s.ConnLock.Lock() conn := s.Conn s.ConnLock.Unlock() if err := conn.WriteControl(websocket.PingMessage, nil, time.Now().Add(pongWaitTime)); err != nil { log.WithError(err).Error("ping error", err) s.Reconnect() } } } } // 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(30 * time.Minute) defer keepAliveTicker.Stop() // if we exit, we should invalidate the existing listen key defer func() { log.Debugf("keepalive worker stopped") if err := s.invalidateListenKey(context.Background(), listenKey); err != nil { log.WithError(err).Errorf("invalidate listen key error: %v key: %s", err, MaskKey(listenKey)) } }() for { select { case <-ctx.Done(): return case <-keepAliveTicker.C: for i := 0; i < 5; i++ { err := s.keepaliveListenKey(ctx, listenKey) if err == nil { break } else { switch err.(type) { case net.Error: log.WithError(err).Errorf("listen key keep-alive network error: %v key: %s", err, MaskKey(listenKey)) time.Sleep(1 * time.Second) continue default: log.WithError(err).Errorf("listen key keep-alive unexpected error: %v key: %s", err, MaskKey(listenKey)) s.Reconnect() return } } } } } } func (s *Stream) read(ctx context.Context) { defer func() { if s.connCancel != nil { s.connCancel() } s.EmitDisconnect() }() for { select { case <-ctx.Done(): return default: s.ConnLock.Lock() conn := s.Conn s.ConnLock.Unlock() if err := conn.SetReadDeadline(time.Now().Add(readTimeout)); err != nil { log.WithError(err).Errorf("set read deadline error: %s", err.Error()) } mt, message, err := conn.ReadMessage() 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 } _ = conn.Close() // for unexpected close error, we should re-connect // emit reconnect to start a new connection s.Reconnect() return case net.Error: log.WithError(err).Error("websocket network error") _ = conn.Close() s.Reconnect() return default: log.WithError(err).Error("unexpected connection error") _ = conn.Close() s.Reconnect() return } } // skip non-text messages if mt != websocket.TextMessage { continue } log.Debug(string(message)) e, err := ParseEvent(string(message)) if err != nil { log.WithError(err).Errorf("websocket event parse error") continue } switch e := e.(type) { case *OutboundAccountPositionEvent: s.EmitOutboundAccountPositionEvent(e) case *OutboundAccountInfoEvent: s.EmitOutboundAccountInfoEvent(e) case *BalanceUpdateEvent: s.EmitBalanceUpdateEvent(e) case *KLineEvent: s.EmitKLineEvent(e) case *DepthEvent: s.EmitDepthEvent(e) case *ExecutionReportEvent: s.EmitExecutionReportEvent(e) case *MarkPriceUpdateEvent: s.EmitMarkPriceUpdateEvent(e) case *ContinuousKLineEvent: s.EmitContinuousKLineEvent(e) case *OrderTradeUpdateEvent: s.EmitOrderTradeUpdateEvent(e) } } } } func (s *Stream) invalidateListenKey(ctx context.Context, listenKey string) (err error) { // should use background context to invalidate the user stream log.Infof("closing listen key: %s", MaskKey(listenKey)) if s.IsMargin { if s.IsIsolatedMargin { req := s.Client.NewCloseIsolatedMarginUserStreamService().ListenKey(listenKey) req.Symbol(s.IsolatedMarginSymbol) err = req.Do(ctx) } else { req := s.Client.NewCloseMarginUserStreamService().ListenKey(listenKey) err = req.Do(ctx) } } else if s.IsFutures { req := s.futuresClient.NewCloseUserStreamService().ListenKey(listenKey) err = req.Do(ctx) } else { err = s.Client.NewCloseUserStreamService().ListenKey(listenKey).Do(ctx) } if err != nil { log.WithError(err).Errorf("error deleting listen key: %s", MaskKey(listenKey)) return err } return nil } func (s *Stream) Close() error { log.Infof("closing user data stream...") if s.connCancel != nil { s.connCancel() } s.ConnLock.Lock() err := s.Conn.Close() s.ConnLock.Unlock() return err } func MaskKey(key string) string { maskKey := key[0:5] return maskKey + strings.Repeat("*", len(key)-1-5) }