mirror of
https://github.com/d0zingcat/gocryptotrader.git
synced 2026-05-13 15:09:42 +00:00
1062 lines
28 KiB
Go
1062 lines
28 KiB
Go
package binance
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import (
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"context"
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"encoding/json"
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"errors"
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"fmt"
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"net/http"
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"strconv"
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"strings"
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"time"
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"github.com/gorilla/websocket"
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"github.com/thrasher-corp/gocryptotrader/currency"
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"github.com/thrasher-corp/gocryptotrader/exchanges/asset"
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"github.com/thrasher-corp/gocryptotrader/exchanges/order"
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"github.com/thrasher-corp/gocryptotrader/exchanges/orderbook"
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"github.com/thrasher-corp/gocryptotrader/exchanges/stream"
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"github.com/thrasher-corp/gocryptotrader/exchanges/ticker"
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"github.com/thrasher-corp/gocryptotrader/exchanges/trade"
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"github.com/thrasher-corp/gocryptotrader/log"
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)
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const (
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binanceDefaultWebsocketURL = "wss://stream.binance.com:9443/stream"
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pingDelay = time.Minute * 9
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)
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var listenKey string
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var (
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// maxWSUpdateBuffer defines max websocket updates to apply when an
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// orderbook is initially fetched
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maxWSUpdateBuffer = 150
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// maxWSOrderbookJobs defines max websocket orderbook jobs in queue to fetch
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// an orderbook snapshot via REST
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maxWSOrderbookJobs = 2000
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// maxWSOrderbookWorkers defines a max amount of workers allowed to execute
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// jobs from the job channel
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maxWSOrderbookWorkers = 10
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)
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// WsConnect initiates a websocket connection
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func (b *Binance) WsConnect() error {
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if !b.Websocket.IsEnabled() || !b.IsEnabled() {
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return errors.New(stream.WebsocketNotEnabled)
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}
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var dialer websocket.Dialer
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dialer.HandshakeTimeout = b.Config.HTTPTimeout
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dialer.Proxy = http.ProxyFromEnvironment
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var err error
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if b.Websocket.CanUseAuthenticatedEndpoints() {
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listenKey, err = b.GetWsAuthStreamKey(context.TODO())
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if err != nil {
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b.Websocket.SetCanUseAuthenticatedEndpoints(false)
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log.Errorf(log.ExchangeSys,
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"%v unable to connect to authenticated Websocket. Error: %s",
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b.Name,
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err)
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} else {
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// cleans on failed connection
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clean := strings.Split(b.Websocket.GetWebsocketURL(), "?streams=")
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authPayload := clean[0] + "?streams=" + listenKey
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err = b.Websocket.SetWebsocketURL(authPayload, false, false)
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if err != nil {
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return err
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}
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}
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}
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err = b.Websocket.Conn.Dial(&dialer, http.Header{})
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if err != nil {
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return fmt.Errorf("%v - Unable to connect to Websocket. Error: %s",
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b.Name,
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err)
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}
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if b.Websocket.CanUseAuthenticatedEndpoints() {
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go b.KeepAuthKeyAlive()
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}
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b.Websocket.Conn.SetupPingHandler(stream.PingHandler{
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UseGorillaHandler: true,
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MessageType: websocket.PongMessage,
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Delay: pingDelay,
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})
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b.Websocket.Wg.Add(1)
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go b.wsReadData()
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b.setupOrderbookManager()
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return nil
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}
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func (b *Binance) setupOrderbookManager() {
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if b.obm == nil {
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b.obm = &orderbookManager{
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state: make(map[currency.Code]map[currency.Code]map[asset.Item]*update),
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jobs: make(chan job, maxWSOrderbookJobs),
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}
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} else {
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// Change state on reconnect for initial sync.
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for _, m1 := range b.obm.state {
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for _, m2 := range m1 {
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for _, update := range m2 {
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update.initialSync = true
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update.needsFetchingBook = true
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update.lastUpdateID = 0
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}
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}
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}
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}
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for i := 0; i < maxWSOrderbookWorkers; i++ {
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// 10 workers for synchronising book
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b.SynchroniseWebsocketOrderbook()
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}
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}
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// KeepAuthKeyAlive will continuously send messages to
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// keep the WS auth key active
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func (b *Binance) KeepAuthKeyAlive() {
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b.Websocket.Wg.Add(1)
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defer b.Websocket.Wg.Done()
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ticks := time.NewTicker(time.Minute * 30)
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for {
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select {
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case <-b.Websocket.ShutdownC:
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ticks.Stop()
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return
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case <-ticks.C:
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err := b.MaintainWsAuthStreamKey(context.TODO())
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if err != nil {
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b.Websocket.DataHandler <- err
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log.Warnf(log.ExchangeSys,
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b.Name+" - Unable to renew auth websocket token, may experience shutdown")
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}
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}
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}
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}
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// wsReadData receives and passes on websocket messages for processing
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func (b *Binance) wsReadData() {
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defer b.Websocket.Wg.Done()
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for {
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resp := b.Websocket.Conn.ReadMessage()
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if resp.Raw == nil {
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return
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}
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err := b.wsHandleData(resp.Raw)
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if err != nil {
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b.Websocket.DataHandler <- err
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}
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}
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}
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func (b *Binance) wsHandleData(respRaw []byte) error {
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var multiStreamData map[string]interface{}
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err := json.Unmarshal(respRaw, &multiStreamData)
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if err != nil {
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return err
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}
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if r, ok := multiStreamData["result"]; ok {
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if r == nil {
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return nil
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}
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}
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if method, ok := multiStreamData["method"].(string); ok {
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// TODO handle subscription handling
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if strings.EqualFold(method, "subscribe") {
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return nil
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}
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if strings.EqualFold(method, "unsubscribe") {
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return nil
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}
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}
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if newdata, ok := multiStreamData["data"].(map[string]interface{}); ok {
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if e, ok := newdata["e"].(string); ok {
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switch e {
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case "outboundAccountInfo":
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var data wsAccountInfo
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err := json.Unmarshal(respRaw, &data)
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if err != nil {
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return fmt.Errorf("%v - Could not convert to outboundAccountInfo structure %s",
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b.Name,
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err)
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}
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b.Websocket.DataHandler <- data
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return nil
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case "outboundAccountPosition":
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var data wsAccountPosition
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err := json.Unmarshal(respRaw, &data)
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if err != nil {
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return fmt.Errorf("%v - Could not convert to outboundAccountPosition structure %s",
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b.Name,
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err)
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}
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b.Websocket.DataHandler <- data
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return nil
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case "balanceUpdate":
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var data wsBalanceUpdate
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err := json.Unmarshal(respRaw, &data)
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if err != nil {
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return fmt.Errorf("%v - Could not convert to balanceUpdate structure %s",
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b.Name,
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err)
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}
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b.Websocket.DataHandler <- data
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return nil
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case "executionReport":
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var data wsOrderUpdate
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err := json.Unmarshal(respRaw, &data)
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if err != nil {
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return fmt.Errorf("%v - Could not convert to executionReport structure %s",
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b.Name,
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err)
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}
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averagePrice := 0.0
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if data.Data.CumulativeFilledQuantity != 0 {
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averagePrice = data.Data.CumulativeQuoteTransactedQuantity / data.Data.CumulativeFilledQuantity
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}
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remainingAmount := data.Data.Quantity - data.Data.CumulativeFilledQuantity
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pair, assetType, err := b.GetRequestFormattedPairAndAssetType(data.Data.Symbol)
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if err != nil {
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return err
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}
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var feeAsset currency.Code
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if data.Data.CommissionAsset != "" {
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feeAsset = currency.NewCode(data.Data.CommissionAsset)
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}
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orderID := strconv.FormatInt(data.Data.OrderID, 10)
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orderStatus, err := stringToOrderStatus(data.Data.OrderStatus)
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if err != nil {
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b.Websocket.DataHandler <- order.ClassificationError{
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Exchange: b.Name,
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OrderID: orderID,
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Err: err,
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}
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}
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clientOrderID := data.Data.ClientOrderID
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if orderStatus == order.Cancelled {
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clientOrderID = data.Data.CancelledClientOrderID
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}
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orderType, err := order.StringToOrderType(data.Data.OrderType)
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if err != nil {
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b.Websocket.DataHandler <- order.ClassificationError{
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Exchange: b.Name,
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OrderID: orderID,
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Err: err,
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}
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}
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orderSide, err := order.StringToOrderSide(data.Data.Side)
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if err != nil {
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b.Websocket.DataHandler <- order.ClassificationError{
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Exchange: b.Name,
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OrderID: orderID,
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Err: err,
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}
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}
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b.Websocket.DataHandler <- &order.Detail{
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Price: data.Data.Price,
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Amount: data.Data.Quantity,
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AverageExecutedPrice: averagePrice,
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ExecutedAmount: data.Data.CumulativeFilledQuantity,
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RemainingAmount: remainingAmount,
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Cost: data.Data.CumulativeQuoteTransactedQuantity,
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CostAsset: pair.Quote,
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Fee: data.Data.Commission,
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FeeAsset: feeAsset,
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Exchange: b.Name,
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OrderID: orderID,
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ClientOrderID: clientOrderID,
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Type: orderType,
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Side: orderSide,
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Status: orderStatus,
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AssetType: assetType,
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Date: data.Data.OrderCreationTime,
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LastUpdated: data.Data.TransactionTime,
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Pair: pair,
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}
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return nil
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case "listStatus":
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var data wsListStatus
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err := json.Unmarshal(respRaw, &data)
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if err != nil {
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return fmt.Errorf("%v - Could not convert to listStatus structure %s",
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b.Name,
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err)
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}
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b.Websocket.DataHandler <- data
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return nil
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}
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}
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}
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if wsStream, ok := multiStreamData["stream"].(string); ok {
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streamType := strings.Split(wsStream, "@")
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if len(streamType) > 1 {
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if data, ok := multiStreamData["data"]; ok {
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rawData, err := json.Marshal(data)
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if err != nil {
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return err
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}
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pairs, err := b.GetEnabledPairs(asset.Spot)
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if err != nil {
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return err
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}
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format, err := b.GetPairFormat(asset.Spot, true)
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if err != nil {
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return err
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}
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switch streamType[1] {
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case "trade":
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saveTradeData := b.IsSaveTradeDataEnabled()
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if !saveTradeData &&
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!b.IsTradeFeedEnabled() {
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return nil
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}
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var t TradeStream
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err := json.Unmarshal(rawData, &t)
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if err != nil {
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return fmt.Errorf("%v - Could not unmarshal trade data: %s",
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b.Name,
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err)
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}
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price, err := strconv.ParseFloat(t.Price, 64)
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if err != nil {
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return fmt.Errorf("%v - price conversion error: %s",
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b.Name,
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err)
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}
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amount, err := strconv.ParseFloat(t.Quantity, 64)
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if err != nil {
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return fmt.Errorf("%v - amount conversion error: %s",
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b.Name,
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err)
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}
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pair, err := currency.NewPairFromFormattedPairs(t.Symbol, pairs, format)
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if err != nil {
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return err
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}
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return b.Websocket.Trade.Update(saveTradeData,
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trade.Data{
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CurrencyPair: pair,
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Timestamp: t.TimeStamp,
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Price: price,
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Amount: amount,
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Exchange: b.Name,
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AssetType: asset.Spot,
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TID: strconv.FormatInt(t.TradeID, 10),
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})
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case "ticker":
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var t TickerStream
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err := json.Unmarshal(rawData, &t)
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if err != nil {
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return fmt.Errorf("%v - Could not convert to a TickerStream structure %s",
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b.Name,
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err.Error())
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}
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pair, err := currency.NewPairFromFormattedPairs(t.Symbol, pairs, format)
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if err != nil {
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return err
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}
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b.Websocket.DataHandler <- &ticker.Price{
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ExchangeName: b.Name,
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Open: t.OpenPrice,
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Close: t.ClosePrice,
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Volume: t.TotalTradedVolume,
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QuoteVolume: t.TotalTradedQuoteVolume,
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High: t.HighPrice,
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Low: t.LowPrice,
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Bid: t.BestBidPrice,
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Ask: t.BestAskPrice,
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Last: t.LastPrice,
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LastUpdated: t.EventTime,
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AssetType: asset.Spot,
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Pair: pair,
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}
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return nil
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case "kline_1m", "kline_3m", "kline_5m", "kline_15m", "kline_30m", "kline_1h", "kline_2h", "kline_4h",
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"kline_6h", "kline_8h", "kline_12h", "kline_1d", "kline_3d", "kline_1w", "kline_1M":
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var kline KlineStream
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err := json.Unmarshal(rawData, &kline)
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if err != nil {
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return fmt.Errorf("%v - Could not convert to a KlineStream structure %s",
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b.Name,
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err)
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}
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pair, err := currency.NewPairFromFormattedPairs(kline.Symbol, pairs, format)
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if err != nil {
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return err
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}
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b.Websocket.DataHandler <- stream.KlineData{
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Timestamp: kline.EventTime,
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Pair: pair,
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AssetType: asset.Spot,
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Exchange: b.Name,
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StartTime: kline.Kline.StartTime,
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CloseTime: kline.Kline.CloseTime,
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Interval: kline.Kline.Interval,
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OpenPrice: kline.Kline.OpenPrice,
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ClosePrice: kline.Kline.ClosePrice,
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HighPrice: kline.Kline.HighPrice,
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LowPrice: kline.Kline.LowPrice,
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Volume: kline.Kline.Volume,
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}
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return nil
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case "depth":
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var depth WebsocketDepthStream
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err := json.Unmarshal(rawData, &depth)
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if err != nil {
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return fmt.Errorf("%v - Could not convert to depthStream structure %s",
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b.Name,
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err)
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}
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init, err := b.UpdateLocalBuffer(&depth)
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if err != nil {
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if init {
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return nil
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}
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return fmt.Errorf("%v - UpdateLocalCache error: %s",
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b.Name,
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err)
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}
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return nil
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default:
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b.Websocket.DataHandler <- stream.UnhandledMessageWarning{
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Message: b.Name + stream.UnhandledMessage + string(respRaw),
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}
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}
|
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}
|
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}
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}
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return fmt.Errorf("unhandled stream data %s", string(respRaw))
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}
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|
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func stringToOrderStatus(status string) (order.Status, error) {
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switch status {
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case "NEW":
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return order.New, nil
|
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case "PARTIALLY_FILLED":
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return order.PartiallyFilled, nil
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case "FILLED":
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return order.Filled, nil
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case "CANCELED":
|
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return order.Cancelled, nil
|
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case "PENDING_CANCEL":
|
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return order.PendingCancel, nil
|
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case "REJECTED":
|
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return order.Rejected, nil
|
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case "EXPIRED":
|
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return order.Expired, nil
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default:
|
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return order.UnknownStatus, errors.New(status + " not recognised as order status")
|
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}
|
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}
|
|
|
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// SeedLocalCache seeds depth data
|
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func (b *Binance) SeedLocalCache(ctx context.Context, p currency.Pair) error {
|
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ob, err := b.GetOrderBook(ctx,
|
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OrderBookDataRequestParams{
|
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Symbol: p,
|
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Limit: 1000,
|
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})
|
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if err != nil {
|
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return err
|
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}
|
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return b.SeedLocalCacheWithBook(p, ob)
|
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}
|
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|
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// SeedLocalCacheWithBook seeds the local orderbook cache
|
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func (b *Binance) SeedLocalCacheWithBook(p currency.Pair, orderbookNew *OrderBook) error {
|
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newOrderBook := orderbook.Base{
|
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Pair: p,
|
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Asset: asset.Spot,
|
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Exchange: b.Name,
|
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LastUpdateID: orderbookNew.LastUpdateID,
|
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VerifyOrderbook: b.CanVerifyOrderbook,
|
|
Bids: make(orderbook.Items, len(orderbookNew.Bids)),
|
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Asks: make(orderbook.Items, len(orderbookNew.Asks)),
|
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LastUpdated: time.Now(), // Time not provided in REST book.
|
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}
|
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for i := range orderbookNew.Bids {
|
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newOrderBook.Bids[i] = orderbook.Item{
|
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Amount: orderbookNew.Bids[i].Quantity,
|
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Price: orderbookNew.Bids[i].Price,
|
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}
|
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}
|
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for i := range orderbookNew.Asks {
|
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newOrderBook.Asks[i] = orderbook.Item{
|
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Amount: orderbookNew.Asks[i].Quantity,
|
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Price: orderbookNew.Asks[i].Price,
|
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}
|
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}
|
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return b.Websocket.Orderbook.LoadSnapshot(&newOrderBook)
|
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}
|
|
|
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// UpdateLocalBuffer updates and returns the most recent iteration of the orderbook
|
|
func (b *Binance) UpdateLocalBuffer(wsdp *WebsocketDepthStream) (bool, error) {
|
|
enabledPairs, err := b.GetEnabledPairs(asset.Spot)
|
|
if err != nil {
|
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return false, err
|
|
}
|
|
|
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format, err := b.GetPairFormat(asset.Spot, true)
|
|
if err != nil {
|
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return false, err
|
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}
|
|
|
|
currencyPair, err := currency.NewPairFromFormattedPairs(wsdp.Pair,
|
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enabledPairs,
|
|
format)
|
|
if err != nil {
|
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return false, err
|
|
}
|
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|
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err = b.obm.stageWsUpdate(wsdp, currencyPair, asset.Spot)
|
|
if err != nil {
|
|
init, err2 := b.obm.checkIsInitialSync(currencyPair)
|
|
if err2 != nil {
|
|
return false, err2
|
|
}
|
|
return init, err
|
|
}
|
|
|
|
err = b.applyBufferUpdate(currencyPair)
|
|
if err != nil {
|
|
b.flushAndCleanup(currencyPair)
|
|
}
|
|
|
|
return false, err
|
|
}
|
|
|
|
// GenerateSubscriptions generates the default subscription set
|
|
func (b *Binance) GenerateSubscriptions() ([]stream.ChannelSubscription, error) {
|
|
var channels = []string{"@ticker", "@trade", "@kline_1m", "@depth@100ms"}
|
|
var subscriptions []stream.ChannelSubscription
|
|
assets := b.GetAssetTypes(true)
|
|
for x := range assets {
|
|
if assets[x] == asset.Spot {
|
|
pairs, err := b.GetEnabledPairs(assets[x])
|
|
if err != nil {
|
|
return nil, err
|
|
}
|
|
|
|
for y := range pairs {
|
|
for z := range channels {
|
|
lp := pairs[y].Lower()
|
|
lp.Delimiter = ""
|
|
subscriptions = append(subscriptions, stream.ChannelSubscription{
|
|
Channel: lp.String() + channels[z],
|
|
Currency: pairs[y],
|
|
Asset: assets[x],
|
|
})
|
|
}
|
|
}
|
|
}
|
|
}
|
|
return subscriptions, nil
|
|
}
|
|
|
|
// Subscribe subscribes to a set of channels
|
|
func (b *Binance) Subscribe(channelsToSubscribe []stream.ChannelSubscription) error {
|
|
payload := WsPayload{
|
|
Method: "SUBSCRIBE",
|
|
}
|
|
for i := range channelsToSubscribe {
|
|
payload.Params = append(payload.Params, channelsToSubscribe[i].Channel)
|
|
if i%50 == 0 && i != 0 {
|
|
err := b.Websocket.Conn.SendJSONMessage(payload)
|
|
if err != nil {
|
|
return err
|
|
}
|
|
payload.Params = []string{}
|
|
}
|
|
}
|
|
if len(payload.Params) > 0 {
|
|
err := b.Websocket.Conn.SendJSONMessage(payload)
|
|
if err != nil {
|
|
return err
|
|
}
|
|
}
|
|
b.Websocket.AddSuccessfulSubscriptions(channelsToSubscribe...)
|
|
return nil
|
|
}
|
|
|
|
// Unsubscribe unsubscribes from a set of channels
|
|
func (b *Binance) Unsubscribe(channelsToUnsubscribe []stream.ChannelSubscription) error {
|
|
payload := WsPayload{
|
|
Method: "UNSUBSCRIBE",
|
|
}
|
|
for i := range channelsToUnsubscribe {
|
|
payload.Params = append(payload.Params, channelsToUnsubscribe[i].Channel)
|
|
if i%50 == 0 && i != 0 {
|
|
err := b.Websocket.Conn.SendJSONMessage(payload)
|
|
if err != nil {
|
|
return err
|
|
}
|
|
payload.Params = []string{}
|
|
}
|
|
}
|
|
if len(payload.Params) > 0 {
|
|
err := b.Websocket.Conn.SendJSONMessage(payload)
|
|
if err != nil {
|
|
return err
|
|
}
|
|
}
|
|
b.Websocket.RemoveSuccessfulUnsubscriptions(channelsToUnsubscribe...)
|
|
return nil
|
|
}
|
|
|
|
// ProcessUpdate processes the websocket orderbook update
|
|
func (b *Binance) ProcessUpdate(cp currency.Pair, a asset.Item, ws *WebsocketDepthStream) error {
|
|
updateBid := make([]orderbook.Item, len(ws.UpdateBids))
|
|
for i := range ws.UpdateBids {
|
|
price, ok := ws.UpdateBids[i][0].(string)
|
|
if !ok {
|
|
return errors.New("type assertion failed for bid price")
|
|
}
|
|
p, err := strconv.ParseFloat(price, 64)
|
|
if err != nil {
|
|
return err
|
|
}
|
|
amount, ok := ws.UpdateBids[i][1].(string)
|
|
if !ok {
|
|
return errors.New("type assertion failed for bid amount")
|
|
}
|
|
a, err := strconv.ParseFloat(amount, 64)
|
|
if err != nil {
|
|
return err
|
|
}
|
|
updateBid[i] = orderbook.Item{Price: p, Amount: a}
|
|
}
|
|
|
|
updateAsk := make([]orderbook.Item, len(ws.UpdateAsks))
|
|
for i := range ws.UpdateAsks {
|
|
price, ok := ws.UpdateAsks[i][0].(string)
|
|
if !ok {
|
|
return errors.New("type assertion failed for ask price")
|
|
}
|
|
p, err := strconv.ParseFloat(price, 64)
|
|
if err != nil {
|
|
return err
|
|
}
|
|
amount, ok := ws.UpdateAsks[i][1].(string)
|
|
if !ok {
|
|
return errors.New("type assertion failed for ask amount")
|
|
}
|
|
a, err := strconv.ParseFloat(amount, 64)
|
|
if err != nil {
|
|
return err
|
|
}
|
|
updateAsk[i] = orderbook.Item{Price: p, Amount: a}
|
|
}
|
|
|
|
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
|
|
}
|