package binance import ( "context" "encoding/json" "errors" "fmt" "net/http" "strconv" "strings" "text/template" "time" "github.com/buger/jsonparser" "github.com/gorilla/websocket" "github.com/thrasher-corp/gocryptotrader/common" "github.com/thrasher-corp/gocryptotrader/currency" "github.com/thrasher-corp/gocryptotrader/exchanges/asset" "github.com/thrasher-corp/gocryptotrader/exchanges/order" "github.com/thrasher-corp/gocryptotrader/exchanges/orderbook" "github.com/thrasher-corp/gocryptotrader/exchanges/request" "github.com/thrasher-corp/gocryptotrader/exchanges/stream" "github.com/thrasher-corp/gocryptotrader/exchanges/subscription" "github.com/thrasher-corp/gocryptotrader/exchanges/ticker" "github.com/thrasher-corp/gocryptotrader/exchanges/trade" "github.com/thrasher-corp/gocryptotrader/log" ) const ( binanceDefaultWebsocketURL = "wss://stream.binance.com:9443/stream" pingDelay = time.Minute * 9 wsSubscribeMethod = "SUBSCRIBE" wsUnsubscribeMethod = "UNSUBSCRIBE" wsListSubscriptionsMethod = "LIST_SUBSCRIPTIONS" ) var listenKey string var ( // maxWSUpdateBuffer defines max websocket updates to apply when an // orderbook is initially fetched maxWSUpdateBuffer = 150 // maxWSOrderbookJobs defines max websocket orderbook jobs in queue to fetch // an orderbook snapshot via REST maxWSOrderbookJobs = 2000 // maxWSOrderbookWorkers defines a max amount of workers allowed to execute // jobs from the job channel maxWSOrderbookWorkers = 10 ) // WsConnect initiates a websocket connection func (b *Binance) WsConnect() error { if !b.Websocket.IsEnabled() || !b.IsEnabled() { return stream.ErrWebsocketNotEnabled } var dialer websocket.Dialer dialer.HandshakeTimeout = b.Config.HTTPTimeout dialer.Proxy = http.ProxyFromEnvironment var err error if b.Websocket.CanUseAuthenticatedEndpoints() { listenKey, err = b.GetWsAuthStreamKey(context.TODO()) if err != nil { b.Websocket.SetCanUseAuthenticatedEndpoints(false) log.Errorf(log.ExchangeSys, "%v unable to connect to authenticated Websocket. Error: %s", b.Name, err) } else { // cleans on failed connection clean := strings.Split(b.Websocket.GetWebsocketURL(), "?streams=") authPayload := clean[0] + "?streams=" + listenKey err = b.Websocket.SetWebsocketURL(authPayload, false, false) if err != nil { return err } } } err = b.Websocket.Conn.Dial(&dialer, http.Header{}) if err != nil { return fmt.Errorf("%v - Unable to connect to Websocket. Error: %s", b.Name, err) } if b.Websocket.CanUseAuthenticatedEndpoints() { go b.KeepAuthKeyAlive() } b.Websocket.Conn.SetupPingHandler(request.Unset, stream.PingHandler{ UseGorillaHandler: true, MessageType: websocket.PongMessage, Delay: pingDelay, }) b.Websocket.Wg.Add(1) go b.wsReadData() b.setupOrderbookManager() return nil } func (b *Binance) setupOrderbookManager() { if b.obm == nil { b.obm = &orderbookManager{ state: make(map[currency.Code]map[currency.Code]map[asset.Item]*update), jobs: make(chan job, maxWSOrderbookJobs), } } else { // Change state on reconnect for initial sync. for _, m1 := range b.obm.state { for _, m2 := range m1 { for _, update := range m2 { update.initialSync = true update.needsFetchingBook = true update.lastUpdateID = 0 } } } } for range maxWSOrderbookWorkers { // 10 workers for synchronising book b.SynchroniseWebsocketOrderbook() } } // KeepAuthKeyAlive will continuously send messages to // keep the WS auth key active func (b *Binance) KeepAuthKeyAlive() { b.Websocket.Wg.Add(1) defer b.Websocket.Wg.Done() ticks := time.NewTicker(time.Minute * 30) for { select { case <-b.Websocket.ShutdownC: ticks.Stop() return case <-ticks.C: err := b.MaintainWsAuthStreamKey(context.TODO()) if err != nil { b.Websocket.DataHandler <- err log.Warnf(log.ExchangeSys, "%s - Unable to renew auth websocket token, may experience shutdown", b.Name) } } } } // wsReadData receives and passes on websocket messages for processing func (b *Binance) wsReadData() { defer b.Websocket.Wg.Done() for { resp := b.Websocket.Conn.ReadMessage() if resp.Raw == nil { return } err := b.wsHandleData(resp.Raw) if err != nil { b.Websocket.DataHandler <- err } } } func (b *Binance) wsHandleData(respRaw []byte) error { if id, err := jsonparser.GetInt(respRaw, "id"); err == nil { if b.Websocket.Match.IncomingWithData(id, respRaw) { return nil } } if resultString, err := jsonparser.GetUnsafeString(respRaw, "result"); err == nil { if resultString == "null" { return nil } } jsonData, _, _, err := jsonparser.Get(respRaw, "data") if err != nil { return fmt.Errorf("%s %s %s", b.Name, stream.UnhandledMessage, string(respRaw)) } var event string event, err = jsonparser.GetUnsafeString(jsonData, "e") if err == nil { switch event { case "outboundAccountPosition": var data wsAccountPosition err = json.Unmarshal(respRaw, &data) if err != nil { return fmt.Errorf("%v - Could not convert to outboundAccountPosition structure %s", b.Name, err) } b.Websocket.DataHandler <- data return nil case "balanceUpdate": var data wsBalanceUpdate err = json.Unmarshal(respRaw, &data) if err != nil { return fmt.Errorf("%v - Could not convert to balanceUpdate structure %s", b.Name, err) } b.Websocket.DataHandler <- data return nil case "executionReport": var data wsOrderUpdate err = json.Unmarshal(respRaw, &data) if err != nil { return fmt.Errorf("%v - Could not convert to executionReport structure %s", b.Name, err) } avgPrice := 0.0 if data.Data.CumulativeFilledQuantity != 0 { avgPrice = data.Data.CumulativeQuoteTransactedQuantity / data.Data.CumulativeFilledQuantity } remainingAmount := data.Data.Quantity - data.Data.CumulativeFilledQuantity var pair currency.Pair var assetType asset.Item pair, assetType, err = b.GetRequestFormattedPairAndAssetType(data.Data.Symbol) if err != nil { return err } var feeAsset currency.Code if data.Data.CommissionAsset != "" { feeAsset = currency.NewCode(data.Data.CommissionAsset) } orderID := strconv.FormatInt(data.Data.OrderID, 10) var orderStatus order.Status orderStatus, err = stringToOrderStatus(data.Data.OrderStatus) if err != nil { b.Websocket.DataHandler <- order.ClassificationError{ Exchange: b.Name, OrderID: orderID, Err: err, } } clientOrderID := data.Data.ClientOrderID if orderStatus == order.Cancelled { clientOrderID = data.Data.CancelledClientOrderID } var orderType order.Type orderType, err = order.StringToOrderType(data.Data.OrderType) if err != nil { b.Websocket.DataHandler <- order.ClassificationError{ Exchange: b.Name, OrderID: orderID, Err: err, } } var orderSide order.Side orderSide, err = order.StringToOrderSide(data.Data.Side) if err != nil { b.Websocket.DataHandler <- order.ClassificationError{ Exchange: b.Name, OrderID: orderID, Err: err, } } b.Websocket.DataHandler <- &order.Detail{ Price: data.Data.Price, Amount: data.Data.Quantity, AverageExecutedPrice: avgPrice, ExecutedAmount: data.Data.CumulativeFilledQuantity, RemainingAmount: remainingAmount, Cost: data.Data.CumulativeQuoteTransactedQuantity, CostAsset: pair.Quote, Fee: data.Data.Commission, FeeAsset: feeAsset, Exchange: b.Name, OrderID: orderID, ClientOrderID: clientOrderID, Type: orderType, Side: orderSide, Status: orderStatus, AssetType: assetType, Date: data.Data.OrderCreationTime, LastUpdated: data.Data.TransactionTime, Pair: pair, } return nil case "listStatus": var data wsListStatus err = json.Unmarshal(respRaw, &data) if err != nil { return fmt.Errorf("%v - Could not convert to listStatus structure %s", b.Name, err) } b.Websocket.DataHandler <- data return nil } } streamStr, err := jsonparser.GetUnsafeString(respRaw, "stream") if err != nil { if errors.Is(err, jsonparser.KeyPathNotFoundError) { return fmt.Errorf("%s %s %s", b.Name, stream.UnhandledMessage, string(respRaw)) } return err } streamType := strings.Split(streamStr, "@") if len(streamType) <= 1 { return fmt.Errorf("%s %s %s", b.Name, stream.UnhandledMessage, string(respRaw)) } var ( pair currency.Pair isEnabled bool symbol string ) symbol, err = jsonparser.GetUnsafeString(jsonData, "s") if err != nil { // there should be a symbol returned for all data types below return err } pair, isEnabled, err = b.MatchSymbolCheckEnabled(symbol, asset.Spot, false) if err != nil { return err } if !isEnabled { return nil } switch streamType[1] { case "trade": saveTradeData := b.IsSaveTradeDataEnabled() if !saveTradeData && !b.IsTradeFeedEnabled() { return nil } var t TradeStream err = json.Unmarshal(jsonData, &t) if err != nil { return fmt.Errorf("%v - Could not unmarshal trade data: %s", b.Name, err) } return b.Websocket.Trade.Update(saveTradeData, trade.Data{ CurrencyPair: pair, Timestamp: t.TimeStamp, Price: t.Price.Float64(), Amount: t.Quantity.Float64(), Exchange: b.Name, AssetType: asset.Spot, TID: strconv.FormatInt(t.TradeID, 10), }) case "ticker": var t TickerStream err = json.Unmarshal(jsonData, &t) if err != nil { return fmt.Errorf("%v - Could not convert to a TickerStream structure %s", b.Name, err.Error()) } b.Websocket.DataHandler <- &ticker.Price{ ExchangeName: b.Name, Open: t.OpenPrice.Float64(), Close: t.ClosePrice.Float64(), Volume: t.TotalTradedVolume.Float64(), QuoteVolume: t.TotalTradedQuoteVolume.Float64(), High: t.HighPrice.Float64(), Low: t.LowPrice.Float64(), Bid: t.BestBidPrice.Float64(), Ask: t.BestAskPrice.Float64(), Last: t.LastPrice.Float64(), LastUpdated: t.EventTime, AssetType: asset.Spot, Pair: pair, } return nil case "kline_1m", "kline_3m", "kline_5m", "kline_15m", "kline_30m", "kline_1h", "kline_2h", "kline_4h", "kline_6h", "kline_8h", "kline_12h", "kline_1d", "kline_3d", "kline_1w", "kline_1M": var kline KlineStream err = json.Unmarshal(jsonData, &kline) if err != nil { return fmt.Errorf("%v - Could not convert to a KlineStream structure %s", b.Name, err) } b.Websocket.DataHandler <- stream.KlineData{ Timestamp: kline.EventTime, Pair: pair, AssetType: asset.Spot, Exchange: b.Name, StartTime: kline.Kline.StartTime, CloseTime: kline.Kline.CloseTime, Interval: kline.Kline.Interval, OpenPrice: kline.Kline.OpenPrice.Float64(), ClosePrice: kline.Kline.ClosePrice.Float64(), HighPrice: kline.Kline.HighPrice.Float64(), LowPrice: kline.Kline.LowPrice.Float64(), Volume: kline.Kline.Volume.Float64(), } return nil case "depth": var depth WebsocketDepthStream err = json.Unmarshal(jsonData, &depth) if err != nil { return fmt.Errorf("%v - Could not convert to depthStream structure %s", b.Name, err) } var init bool init, err = b.UpdateLocalBuffer(&depth) if err != nil { if init { return nil } return fmt.Errorf("%v - UpdateLocalCache error: %s", b.Name, err) } return nil default: return fmt.Errorf("%s %s %s", b.Name, stream.UnhandledMessage, string(respRaw)) } } func stringToOrderStatus(status string) (order.Status, error) { switch status { case "NEW": return order.New, nil case "PARTIALLY_FILLED": return order.PartiallyFilled, nil case "FILLED": return order.Filled, nil case "CANCELED": return order.Cancelled, nil case "PENDING_CANCEL": return order.PendingCancel, nil case "REJECTED": return order.Rejected, nil case "EXPIRED": return order.Expired, nil default: return order.UnknownStatus, errors.New(status + " not recognised as order status") } } // SeedLocalCache seeds depth data func (b *Binance) SeedLocalCache(ctx context.Context, p currency.Pair) error { ob, err := b.GetOrderBook(ctx, OrderBookDataRequestParams{ Symbol: p, Limit: 1000, }) if err != nil { return err } return b.SeedLocalCacheWithBook(p, ob) } // SeedLocalCacheWithBook seeds the local orderbook cache func (b *Binance) SeedLocalCacheWithBook(p currency.Pair, orderbookNew *OrderBook) error { newOrderBook := orderbook.Base{ Pair: p, Asset: asset.Spot, Exchange: b.Name, LastUpdateID: orderbookNew.LastUpdateID, VerifyOrderbook: b.CanVerifyOrderbook, Bids: make(orderbook.Tranches, len(orderbookNew.Bids)), Asks: make(orderbook.Tranches, len(orderbookNew.Asks)), LastUpdated: time.Now(), // Time not provided in REST book. } for i := range orderbookNew.Bids { newOrderBook.Bids[i] = orderbook.Tranche{ Amount: orderbookNew.Bids[i].Quantity, Price: orderbookNew.Bids[i].Price, } } for i := range orderbookNew.Asks { newOrderBook.Asks[i] = orderbook.Tranche{ Amount: orderbookNew.Asks[i].Quantity, Price: orderbookNew.Asks[i].Price, } } return b.Websocket.Orderbook.LoadSnapshot(&newOrderBook) } // UpdateLocalBuffer updates and returns the most recent iteration of the orderbook func (b *Binance) UpdateLocalBuffer(wsdp *WebsocketDepthStream) (bool, error) { pair, err := b.MatchSymbolWithAvailablePairs(wsdp.Pair, asset.Spot, false) if err != nil { return false, err } err = b.obm.stageWsUpdate(wsdp, pair, asset.Spot) if err != nil { init, err2 := b.obm.checkIsInitialSync(pair) if err2 != nil { return false, err2 } return init, err } err = b.applyBufferUpdate(pair) if err != nil { b.flushAndCleanup(pair) } return false, err } func (b *Binance) generateSubscriptions() (subscription.List, error) { for _, s := range b.Features.Subscriptions { if s.Asset == asset.Empty { // Handle backwards compatibility with config without assets, all binance subs are spot s.Asset = asset.Spot } } return b.Features.Subscriptions.ExpandTemplates(b) } var subTemplate *template.Template // GetSubscriptionTemplate returns a subscription channel template func (b *Binance) GetSubscriptionTemplate(_ *subscription.Subscription) (*template.Template, error) { var err error if subTemplate == nil { subTemplate, err = template.New("subscriptions.tmpl"). Funcs(template.FuncMap{ "interval": formatChannelInterval, "levels": formatChannelLevels, "fmt": currency.EMPTYFORMAT.Format, }). Parse(subTplText) } return subTemplate, err } func formatChannelLevels(s *subscription.Subscription) string { if s.Levels != 0 { return strconv.Itoa(s.Levels) } return "" } func formatChannelInterval(s *subscription.Subscription) string { switch s.Channel { case subscription.OrderbookChannel: if s.Interval.Duration() == time.Second { return "@1000ms" } return "@" + s.Interval.Short() case subscription.CandlesChannel: return "_" + s.Interval.Short() } return "" } // Subscribe subscribes to a set of channels func (b *Binance) Subscribe(channels subscription.List) error { return b.ParallelChanOp(channels, func(l subscription.List) error { return b.manageSubs(wsSubscribeMethod, l) }, 50) } // Unsubscribe unsubscribes from a set of channels func (b *Binance) Unsubscribe(channels subscription.List) error { return b.ParallelChanOp(channels, func(l subscription.List) error { return b.manageSubs(wsUnsubscribeMethod, l) }, 50) } // manageSubs subscribes or unsubscribes from a list of subscriptions func (b *Binance) manageSubs(op string, subs subscription.List) error { if op == wsSubscribeMethod { if err := b.Websocket.AddSubscriptions(b.Websocket.Conn, subs...); err != nil { // Note: AddSubscription will set state to subscribing return err } } else { if err := subs.SetStates(subscription.UnsubscribingState); err != nil { return err } } req := WsPayload{ ID: b.Websocket.Conn.GenerateMessageID(false), Method: op, Params: subs.QualifiedChannels(), } respRaw, err := b.Websocket.Conn.SendMessageReturnResponse(context.TODO(), request.Unset, req.ID, req) if err == nil { if v, d, _, rErr := jsonparser.Get(respRaw, "result"); rErr != nil { err = rErr } else if d != jsonparser.Null { // null is the only expected and acceptable response err = fmt.Errorf("%w: %s", common.ErrUnknownError, v) } } if err != nil { err = fmt.Errorf("%w; Channels: %s", err, strings.Join(subs.QualifiedChannels(), ", ")) b.Websocket.DataHandler <- err if op == wsSubscribeMethod { if err2 := b.Websocket.RemoveSubscriptions(b.Websocket.Conn, subs...); err2 != nil { err = common.AppendError(err, err2) } } } else { if op == wsSubscribeMethod { err = common.AppendError(err, subs.SetStates(subscription.SubscribedState)) } else { err = b.Websocket.RemoveSubscriptions(b.Websocket.Conn, subs...) } } return err } // ProcessUpdate processes the websocket orderbook update func (b *Binance) ProcessUpdate(cp currency.Pair, a asset.Item, ws *WebsocketDepthStream) error { updateBid := make([]orderbook.Tranche, len(ws.UpdateBids)) for i := range ws.UpdateBids { updateBid[i] = orderbook.Tranche{ Price: ws.UpdateBids[i][0].Float64(), Amount: ws.UpdateBids[i][1].Float64(), } } updateAsk := make([]orderbook.Tranche, len(ws.UpdateAsks)) for i := range ws.UpdateAsks { updateAsk[i] = orderbook.Tranche{ Price: ws.UpdateAsks[i][0].Float64(), Amount: ws.UpdateAsks[i][1].Float64(), } } return b.Websocket.Orderbook.Update(&orderbook.Update{ Bids: updateBid, Asks: updateAsk, Pair: cp, UpdateID: ws.LastUpdateID, UpdateTime: ws.Timestamp, Asset: a, }) } // applyBufferUpdate applies the buffer to the orderbook or initiates a new // orderbook sync by the REST protocol which is off handed to go routine. func (b *Binance) applyBufferUpdate(pair currency.Pair) error { fetching, needsFetching, err := b.obm.handleFetchingBook(pair) if err != nil { return err } if fetching { return nil } if needsFetching { if b.Verbose { log.Debugf(log.WebsocketMgr, "%s Orderbook: Fetching via REST\n", b.Name) } return b.obm.fetchBookViaREST(pair) } recent, err := b.Websocket.Orderbook.GetOrderbook(pair, asset.Spot) if err != nil { log.Errorf( log.WebsocketMgr, "%s error fetching recent orderbook when applying updates: %s\n", b.Name, err) } if recent != nil { err = b.obm.checkAndProcessUpdate(b.ProcessUpdate, pair, recent) if err != nil { log.Errorf( log.WebsocketMgr, "%s error processing update - initiating new orderbook sync via REST: %s\n", b.Name, err) err = b.obm.setNeedsFetchingBook(pair) if err != nil { return err } } } return nil } // setNeedsFetchingBook completes the book fetching initiation. func (o *orderbookManager) setNeedsFetchingBook(pair currency.Pair) error { o.Lock() defer o.Unlock() state, ok := o.state[pair.Base][pair.Quote][asset.Spot] if !ok { return fmt.Errorf("could not match pair %s and asset type %s in hash table", pair, asset.Spot) } state.needsFetchingBook = true return nil } // SynchroniseWebsocketOrderbook synchronises full orderbook for currency pair // asset func (b *Binance) SynchroniseWebsocketOrderbook() { b.Websocket.Wg.Add(1) go func() { defer b.Websocket.Wg.Done() for { select { case <-b.Websocket.ShutdownC: for { select { case <-b.obm.jobs: default: return } } case j := <-b.obm.jobs: err := b.processJob(j.Pair) if err != nil { log.Errorf(log.WebsocketMgr, "%s processing websocket orderbook error %v", b.Name, err) } } } }() } // processJob fetches and processes orderbook updates func (b *Binance) processJob(p currency.Pair) error { err := b.SeedLocalCache(context.TODO(), p) if err != nil { return fmt.Errorf("%s %s seeding local cache for orderbook error: %v", p, asset.Spot, err) } err = b.obm.stopFetchingBook(p) if err != nil { return err } // Immediately apply the buffer updates so we don't wait for a // new update to initiate this. err = b.applyBufferUpdate(p) if err != nil { b.flushAndCleanup(p) return err } return nil } // flushAndCleanup flushes orderbook and clean local cache func (b *Binance) flushAndCleanup(p currency.Pair) { errClean := b.Websocket.Orderbook.FlushOrderbook(p, asset.Spot) if errClean != nil { log.Errorf(log.WebsocketMgr, "%s flushing websocket error: %v", b.Name, errClean) } errClean = b.obm.cleanup(p) if errClean != nil { log.Errorf(log.WebsocketMgr, "%s cleanup websocket error: %v", b.Name, errClean) } } // stageWsUpdate stages websocket update to roll through updates that need to // be applied to a fetched orderbook via REST. func (o *orderbookManager) stageWsUpdate(u *WebsocketDepthStream, pair currency.Pair, a asset.Item) error { o.Lock() defer o.Unlock() m1, ok := o.state[pair.Base] if !ok { m1 = make(map[currency.Code]map[asset.Item]*update) o.state[pair.Base] = m1 } m2, ok := m1[pair.Quote] if !ok { m2 = make(map[asset.Item]*update) m1[pair.Quote] = m2 } state, ok := m2[a] if !ok { state = &update{ // 100ms update assuming we might have up to a 10 second delay. // There could be a potential 100 updates for the currency. buffer: make(chan *WebsocketDepthStream, maxWSUpdateBuffer), fetchingBook: false, initialSync: true, needsFetchingBook: true, } m2[a] = state } if state.lastUpdateID != 0 && u.FirstUpdateID != state.lastUpdateID+1 { // While listening to the stream, each new event's U should be // equal to the previous event's u+1. return fmt.Errorf("websocket orderbook synchronisation failure for pair %s and asset %s", pair, a) } state.lastUpdateID = u.LastUpdateID select { // Put update in the channel buffer to be processed case state.buffer <- u: return nil default: <-state.buffer // pop one element state.buffer <- u // to shift buffer on fail return fmt.Errorf("channel blockage for %s, asset %s and connection", pair, a) } } // handleFetchingBook checks if a full book is being fetched or needs to be // fetched func (o *orderbookManager) handleFetchingBook(pair currency.Pair) (fetching, needsFetching bool, err error) { o.Lock() defer o.Unlock() state, ok := o.state[pair.Base][pair.Quote][asset.Spot] if !ok { return false, false, fmt.Errorf("check is fetching book cannot match currency pair %s asset type %s", pair, asset.Spot) } if state.fetchingBook { return true, false, nil } if state.needsFetchingBook { state.needsFetchingBook = false state.fetchingBook = true return false, true, nil } return false, false, nil } // stopFetchingBook completes the book fetching. func (o *orderbookManager) stopFetchingBook(pair currency.Pair) error { o.Lock() defer o.Unlock() state, ok := o.state[pair.Base][pair.Quote][asset.Spot] if !ok { return fmt.Errorf("could not match pair %s and asset type %s in hash table", pair, asset.Spot) } if !state.fetchingBook { return fmt.Errorf("fetching book already set to false for %s %s", pair, asset.Spot) } state.fetchingBook = false return nil } // completeInitialSync sets if an asset type has completed its initial sync func (o *orderbookManager) completeInitialSync(pair currency.Pair) error { o.Lock() defer o.Unlock() state, ok := o.state[pair.Base][pair.Quote][asset.Spot] if !ok { return fmt.Errorf("complete initial sync cannot match currency pair %s asset type %s", pair, asset.Spot) } if !state.initialSync { return fmt.Errorf("initial sync already set to false for %s %s", pair, asset.Spot) } state.initialSync = false return nil } // checkIsInitialSync checks status if the book is Initial Sync being via the REST // protocol. func (o *orderbookManager) checkIsInitialSync(pair currency.Pair) (bool, error) { o.Lock() defer o.Unlock() state, ok := o.state[pair.Base][pair.Quote][asset.Spot] if !ok { return false, fmt.Errorf("checkIsInitialSync of orderbook cannot match currency pair %s asset type %s", pair, asset.Spot) } return state.initialSync, nil } // fetchBookViaREST pushes a job of fetching the orderbook via the REST protocol // to get an initial full book that we can apply our buffered updates too. func (o *orderbookManager) fetchBookViaREST(pair currency.Pair) error { o.Lock() defer o.Unlock() state, ok := o.state[pair.Base][pair.Quote][asset.Spot] if !ok { return fmt.Errorf("fetch book via rest cannot match currency pair %s asset type %s", pair, asset.Spot) } state.initialSync = true state.fetchingBook = true select { case o.jobs <- job{pair}: return nil default: return fmt.Errorf("%s %s book synchronisation channel blocked up", pair, asset.Spot) } } func (o *orderbookManager) checkAndProcessUpdate(processor func(currency.Pair, asset.Item, *WebsocketDepthStream) error, pair currency.Pair, recent *orderbook.Base) error { o.Lock() defer o.Unlock() state, ok := o.state[pair.Base][pair.Quote][asset.Spot] if !ok { return fmt.Errorf("could not match pair [%s] asset type [%s] in hash table to process websocket orderbook update", pair, asset.Spot) } // This will continuously remove updates from the buffered channel and // apply them to the current orderbook. buffer: for { select { case d := <-state.buffer: process, err := state.validate(d, recent) if err != nil { return err } if process { err := processor(pair, asset.Spot, d) if err != nil { return fmt.Errorf("%s %s processing update error: %w", pair, asset.Spot, err) } } default: break buffer } } return nil } // validate checks for correct update alignment func (u *update) validate(updt *WebsocketDepthStream, recent *orderbook.Base) (bool, error) { if updt.LastUpdateID <= recent.LastUpdateID { // Drop any event where u is <= lastUpdateId in the snapshot. return false, nil } id := recent.LastUpdateID + 1 if u.initialSync { // The first processed event should have U <= lastUpdateId+1 AND // u >= lastUpdateId+1. if updt.FirstUpdateID > id || updt.LastUpdateID < id { return false, fmt.Errorf("initial websocket orderbook sync failure for pair %s and asset %s", recent.Pair, asset.Spot) } u.initialSync = false } return true, nil } // cleanup cleans up buffer and reset fetch and init func (o *orderbookManager) cleanup(pair currency.Pair) error { o.Lock() state, ok := o.state[pair.Base][pair.Quote][asset.Spot] if !ok { o.Unlock() return fmt.Errorf("cleanup cannot match %s %s to hash table", pair, asset.Spot) } bufferEmpty: for { select { case <-state.buffer: // bleed and discard buffer default: break bufferEmpty } } o.Unlock() // disable rest orderbook synchronisation _ = o.stopFetchingBook(pair) _ = o.completeInitialSync(pair) _ = o.stopNeedsFetchingBook(pair) return nil } // stopNeedsFetchingBook completes the book fetching initiation. func (o *orderbookManager) stopNeedsFetchingBook(pair currency.Pair) error { o.Lock() defer o.Unlock() state, ok := o.state[pair.Base][pair.Quote][asset.Spot] if !ok { return fmt.Errorf("could not match pair %s and asset type %s in hash table", pair, asset.Spot) } if !state.needsFetchingBook { return fmt.Errorf("needs fetching book already set to false for %s %s", pair, asset.Spot) } state.needsFetchingBook = false return nil } const subTplText = ` {{ range $pair := index $.AssetPairs $.S.Asset }} {{ fmt $pair -}} @ {{- with $c := $.S.Channel -}} {{ if eq $c "ticker" -}} ticker {{ else if eq $c "allTrades" -}} trade {{ else if eq $c "candles" -}} kline {{- interval $.S }} {{ else if eq $c "orderbook" -}} depth {{- levels $.S }}{{ interval $.S }} {{- end }}{{ end }} {{ $.PairSeparator }} {{end}} `