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510 lines
13 KiB
Go
510 lines
13 KiB
Go
package binance
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import (
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"context"
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"net"
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"time"
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"github.com/c9s/bbgo/pkg/depth"
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"github.com/c9s/bbgo/pkg/util"
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"github.com/adshao/go-binance/v2"
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"github.com/adshao/go-binance/v2/futures"
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"github.com/c9s/bbgo/pkg/types"
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)
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// from Binance document:
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// The websocket server will send a ping frame every 3 minutes.
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// If the websocket server does not receive a pong frame back from the connection within a 10 minute period, the connection will be disconnected.
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// Unsolicited pong frames are allowed.
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// WebSocket connections have a limit of 5 incoming messages per second. A message is considered:
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// A PING frame
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// A PONG frame
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// A JSON controlled message (e.g. subscribe, unsubscribe)
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const listenKeyKeepAliveInterval = 15 * time.Minute
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type WebSocketCommand struct {
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// request ID is required
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ID int `json:"id"`
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Method string `json:"method"`
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Params []string `json:"params"`
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}
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//go:generate callbackgen -type Stream -interface
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type Stream struct {
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types.MarginSettings
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types.FuturesSettings
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types.StandardStream
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client *binance.Client
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futuresClient *futures.Client
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// custom callbacks
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depthEventCallbacks []func(e *DepthEvent)
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kLineEventCallbacks []func(e *KLineEvent)
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kLineClosedEventCallbacks []func(e *KLineEvent)
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marketTradeEventCallbacks []func(e *MarketTradeEvent)
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aggTradeEventCallbacks []func(e *AggTradeEvent)
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forceOrderEventCallbacks []func(e *ForceOrderEvent)
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balanceUpdateEventCallbacks []func(event *BalanceUpdateEvent)
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outboundAccountInfoEventCallbacks []func(event *OutboundAccountInfoEvent)
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outboundAccountPositionEventCallbacks []func(event *OutboundAccountPositionEvent)
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executionReportEventCallbacks []func(event *ExecutionReportEvent)
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bookTickerEventCallbacks []func(event *BookTickerEvent)
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// futures market data stream
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markPriceUpdateEventCallbacks []func(e *MarkPriceUpdateEvent)
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continuousKLineEventCallbacks []func(e *ContinuousKLineEvent)
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continuousKLineClosedEventCallbacks []func(e *ContinuousKLineEvent)
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// futures user data stream event callbacks
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orderTradeUpdateEventCallbacks []func(e *OrderTradeUpdateEvent)
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accountUpdateEventCallbacks []func(e *AccountUpdateEvent)
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accountConfigUpdateEventCallbacks []func(e *AccountConfigUpdateEvent)
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marginCallEventCallbacks []func(e *MarginCallEvent)
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listenKeyExpiredCallbacks []func(e *ListenKeyExpired)
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// depthBuffers is used for storing the depth info
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depthBuffers map[string]*depth.Buffer
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}
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func NewStream(ex *Exchange, client *binance.Client, futuresClient *futures.Client) *Stream {
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stream := &Stream{
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StandardStream: types.NewStandardStream(),
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client: client,
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futuresClient: futuresClient,
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depthBuffers: make(map[string]*depth.Buffer),
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}
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stream.SetParser(parseWebSocketEvent)
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stream.SetDispatcher(stream.dispatchEvent)
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stream.SetEndpointCreator(stream.createEndpoint)
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stream.OnDepthEvent(func(e *DepthEvent) {
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f, ok := stream.depthBuffers[e.Symbol]
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if ok {
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err := f.AddUpdate(types.SliceOrderBook{
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Symbol: e.Symbol,
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Time: e.EventBase.Time.Time(),
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Bids: e.Bids,
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Asks: e.Asks,
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}, e.FirstUpdateID, e.FinalUpdateID)
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if err != nil {
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log.WithError(err).Errorf("found missing %s update event", e.Symbol)
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}
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} else {
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f = depth.NewBuffer(func() (types.SliceOrderBook, int64, error) {
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log.Infof("fetching %s depth...", e.Symbol)
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return ex.QueryDepth(context.Background(), e.Symbol)
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})
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f.SetBufferingPeriod(time.Second)
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f.OnReady(func(snapshot types.SliceOrderBook, updates []depth.Update) {
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if valid, err := snapshot.IsValid(); !valid {
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log.Errorf("%s depth snapshot is invalid, error: %v", e.Symbol, err)
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return
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}
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stream.EmitBookSnapshot(snapshot)
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for _, u := range updates {
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stream.EmitBookUpdate(u.Object)
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}
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})
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f.OnPush(func(update depth.Update) {
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stream.EmitBookUpdate(update.Object)
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})
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stream.depthBuffers[e.Symbol] = f
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}
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})
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stream.OnOutboundAccountPositionEvent(stream.handleOutboundAccountPositionEvent)
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stream.OnKLineEvent(stream.handleKLineEvent)
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stream.OnBookTickerEvent(stream.handleBookTickerEvent)
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stream.OnExecutionReportEvent(stream.handleExecutionReportEvent)
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stream.OnContinuousKLineEvent(stream.handleContinuousKLineEvent)
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stream.OnMarketTradeEvent(stream.handleMarketTradeEvent)
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stream.OnAggTradeEvent(stream.handleAggTradeEvent)
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stream.OnForceOrderEvent(stream.handleForceOrderEvent)
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// Futures User Data Stream
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// ===================================
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// Event type ACCOUNT_UPDATE from user data stream updates Balance and FuturesPosition.
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stream.OnOrderTradeUpdateEvent(stream.handleOrderTradeUpdateEvent)
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// ===================================
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stream.OnDisconnect(stream.handleDisconnect)
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stream.OnConnect(stream.handleConnect)
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stream.OnListenKeyExpired(func(e *ListenKeyExpired) {
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stream.Reconnect()
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})
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return stream
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}
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func (s *Stream) handleDisconnect() {
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log.Debugf("resetting depth snapshots...")
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for _, f := range s.depthBuffers {
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f.Reset()
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}
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}
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func (s *Stream) handleConnect() {
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if !s.PublicOnly {
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// Emit Auth before establishing the connection to prevent the caller from missing the Update data after
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// creating the order.
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s.EmitAuth()
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return
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}
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var params []string
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for _, subscription := range s.Subscriptions {
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params = append(params, convertSubscription(subscription))
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}
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if len(params) == 0 {
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return
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}
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log.Infof("subscribing channels: %+v", params)
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err := s.Conn.WriteJSON(WebSocketCommand{
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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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log.WithError(err).Error("subscribe error")
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}
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}
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func (s *Stream) handleContinuousKLineEvent(e *ContinuousKLineEvent) {
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kline := e.KLine.KLine()
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if e.KLine.Closed {
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s.EmitContinuousKLineClosedEvent(e)
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s.EmitKLineClosed(kline)
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} else {
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s.EmitKLine(kline)
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}
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}
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func (s *Stream) handleExecutionReportEvent(e *ExecutionReportEvent) {
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switch e.CurrentExecutionType {
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case "NEW", "CANCELED", "REJECTED", "EXPIRED", "REPLACED":
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order, err := e.Order()
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if err != nil {
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log.WithError(err).Error("order convert error")
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return
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}
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s.EmitOrderUpdate(*order)
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case "TRADE":
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trade, err := e.Trade()
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if err != nil {
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log.WithError(err).Error("trade convert error")
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return
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}
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s.EmitTradeUpdate(*trade)
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order, err := e.Order()
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if err != nil {
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log.WithError(err).Error("order convert error")
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return
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}
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// Update Order with FILLED event
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if order.Status == types.OrderStatusFilled {
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s.EmitOrderUpdate(*order)
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}
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}
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}
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func (s *Stream) handleBookTickerEvent(e *BookTickerEvent) {
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s.EmitBookTickerUpdate(e.BookTicker())
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}
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func (s *Stream) handleMarketTradeEvent(e *MarketTradeEvent) {
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s.EmitMarketTrade(e.Trade())
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}
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func (s *Stream) handleAggTradeEvent(e *AggTradeEvent) {
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s.EmitAggTrade(e.Trade())
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}
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func (s *Stream) handleForceOrderEvent(e *ForceOrderEvent) {
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s.EmitForceOrder(e.LiquidationInfo())
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}
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func (s *Stream) handleKLineEvent(e *KLineEvent) {
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kline := e.KLine.KLine()
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if e.KLine.Closed {
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s.EmitKLineClosedEvent(e)
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s.EmitKLineClosed(kline)
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} else {
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s.EmitKLine(kline)
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}
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}
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func (s *Stream) handleOutboundAccountPositionEvent(e *OutboundAccountPositionEvent) {
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snapshot := types.BalanceMap{}
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for _, balance := range e.Balances {
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snapshot[balance.Asset] = types.Balance{
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Currency: balance.Asset,
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Available: balance.Free,
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Locked: balance.Locked,
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}
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}
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s.EmitBalanceSnapshot(snapshot)
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}
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func (s *Stream) handleOrderTradeUpdateEvent(e *OrderTradeUpdateEvent) {
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switch e.OrderTrade.CurrentExecutionType {
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case "NEW", "CANCELED", "EXPIRED":
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order, err := e.OrderFutures()
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if err != nil {
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log.WithError(err).Error("futures order convert error")
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return
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}
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s.EmitOrderUpdate(*order)
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case "TRADE":
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trade, err := e.TradeFutures()
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if err != nil {
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log.WithError(err).Error("futures trade convert error")
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return
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}
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s.EmitTradeUpdate(*trade)
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order, err := e.OrderFutures()
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if err != nil {
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log.WithError(err).Error("futures order convert error")
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return
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}
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// Update Order with FILLED event
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if order.Status == types.OrderStatusFilled {
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s.EmitOrderUpdate(*order)
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}
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case "CALCULATED - Liquidation Execution":
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log.Infof("CALCULATED - Liquidation Execution not support yet.")
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}
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}
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func (s *Stream) getEndpointUrl(listenKey string) string {
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var url string
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if s.IsFutures {
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url = FuturesWebSocketURL + "/ws"
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} else if isBinanceUs() {
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url = BinanceUSWebSocketURL + "/ws"
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} else {
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url = WebSocketURL + "/ws"
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}
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if !s.PublicOnly {
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url += "/" + listenKey
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}
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return url
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}
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func (s *Stream) createEndpoint(ctx context.Context) (string, error) {
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var err error
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var listenKey string
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if s.PublicOnly {
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log.Debugf("stream is set to public only mode")
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} else {
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listenKey, err = s.fetchListenKey(ctx)
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if err != nil {
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return "", err
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}
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log.Debugf("listen key is created: %s", util.MaskKey(listenKey))
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go s.listenKeyKeepAlive(ctx, listenKey)
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}
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url := s.getEndpointUrl(listenKey)
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return url, nil
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}
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func (s *Stream) dispatchEvent(e interface{}) {
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switch e := e.(type) {
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case *OutboundAccountPositionEvent:
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s.EmitOutboundAccountPositionEvent(e)
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case *OutboundAccountInfoEvent:
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s.EmitOutboundAccountInfoEvent(e)
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case *BalanceUpdateEvent:
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s.EmitBalanceUpdateEvent(e)
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case *MarketTradeEvent:
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s.EmitMarketTradeEvent(e)
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case *AggTradeEvent:
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s.EmitAggTradeEvent(e)
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case *KLineEvent:
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s.EmitKLineEvent(e)
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case *BookTickerEvent:
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s.EmitBookTickerEvent(e)
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case *DepthEvent:
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s.EmitDepthEvent(e)
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case *ExecutionReportEvent:
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s.EmitExecutionReportEvent(e)
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case *MarkPriceUpdateEvent:
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s.EmitMarkPriceUpdateEvent(e)
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case *ContinuousKLineEvent:
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s.EmitContinuousKLineEvent(e)
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case *OrderTradeUpdateEvent:
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s.EmitOrderTradeUpdateEvent(e)
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case *AccountUpdateEvent:
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s.EmitAccountUpdateEvent(e)
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case *AccountConfigUpdateEvent:
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s.EmitAccountConfigUpdateEvent(e)
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case *ListenKeyExpired:
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s.EmitListenKeyExpired(e)
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case *ForceOrderEvent:
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s.EmitForceOrderEvent(e)
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case *MarginCallEvent:
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}
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}
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func (s *Stream) fetchListenKey(ctx context.Context) (string, error) {
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if s.IsMargin {
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if s.IsIsolatedMargin {
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log.Debugf("isolated margin %s is enabled, requesting margin user stream listen key...", s.IsolatedMarginSymbol)
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req := s.client.NewStartIsolatedMarginUserStreamService()
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req.Symbol(s.IsolatedMarginSymbol)
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return req.Do(ctx)
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}
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log.Debugf("margin mode is enabled, requesting margin user stream listen key...")
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req := s.client.NewStartMarginUserStreamService()
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return req.Do(ctx)
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} else if s.IsFutures {
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log.Debugf("futures mode is enabled, requesting futures user stream listen key...")
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req := s.futuresClient.NewStartUserStreamService()
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return req.Do(ctx)
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}
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log.Debugf("spot mode is enabled, requesting user stream listen key...")
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return s.client.NewStartUserStreamService().Do(ctx)
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}
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func (s *Stream) keepaliveListenKey(ctx context.Context, listenKey string) error {
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log.Debugf("keepalive listen key: %s", util.MaskKey(listenKey))
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if s.IsMargin {
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if s.IsIsolatedMargin {
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req := s.client.NewKeepaliveIsolatedMarginUserStreamService().ListenKey(listenKey)
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req.Symbol(s.IsolatedMarginSymbol)
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return req.Do(ctx)
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}
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req := s.client.NewKeepaliveMarginUserStreamService().ListenKey(listenKey)
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return req.Do(ctx)
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} else if s.IsFutures {
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req := s.futuresClient.NewKeepaliveUserStreamService().ListenKey(listenKey)
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return req.Do(ctx)
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}
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return s.client.NewKeepaliveUserStreamService().ListenKey(listenKey).Do(ctx)
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}
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func (s *Stream) closeListenKey(ctx context.Context, listenKey string) (err error) {
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// should use background context to invalidate the user stream
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log.Debugf("closing listen key: %s", util.MaskKey(listenKey))
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if s.IsMargin {
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if s.IsIsolatedMargin {
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req := s.client.NewCloseIsolatedMarginUserStreamService().ListenKey(listenKey)
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req.Symbol(s.IsolatedMarginSymbol)
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err = req.Do(ctx)
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} else {
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req := s.client.NewCloseMarginUserStreamService().ListenKey(listenKey)
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err = req.Do(ctx)
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}
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} else if s.IsFutures {
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req := s.futuresClient.NewCloseUserStreamService().ListenKey(listenKey)
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err = req.Do(ctx)
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} else {
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err = s.client.NewCloseUserStreamService().ListenKey(listenKey).Do(ctx)
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}
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return err
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}
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// listenKeyKeepAlive
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// From Binance
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// Keepalive a user data stream to prevent a time out. User data streams will close after 60 minutes.
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// It's recommended to send a ping about every 30 minutes.
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func (s *Stream) listenKeyKeepAlive(ctx context.Context, listenKey string) {
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keepAliveTicker := time.NewTicker(listenKeyKeepAliveInterval)
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defer keepAliveTicker.Stop()
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// if we exit, we should invalidate the existing listen key
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defer func() {
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log.Debugf("keepalive worker stopped")
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if err := s.closeListenKey(context.Background(), listenKey); err != nil {
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log.WithError(err).Errorf("close listen key error: %v key: %s", err, util.MaskKey(listenKey))
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}
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}()
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log.Debugf("starting listen key keep alive worker with interval %s, listen key = %s", listenKeyKeepAliveInterval, util.MaskKey(listenKey))
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for {
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select {
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case <-s.CloseC:
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return
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case <-ctx.Done():
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return
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case <-keepAliveTicker.C:
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for i := 0; i < 5; i++ {
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err := s.keepaliveListenKey(ctx, listenKey)
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if err != nil {
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time.Sleep(5 * time.Second)
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switch err.(type) {
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case net.Error:
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log.WithError(err).Errorf("listen key keep-alive network error: %v key: %s", err, util.MaskKey(listenKey))
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continue
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default:
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log.WithError(err).Errorf("listen key keep-alive unexpected error: %v key: %s", err, util.MaskKey(listenKey))
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s.Reconnect()
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return
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}
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} else {
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break
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}
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}
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}
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}
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}
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