public List <TradeInfoItem> GetTradeVolumesForCandleStick(Ticker ticker, long start, long end)
{
List <TradeInfoItem> trades = new List <TradeInfoItem>();
string address = string.Format("https://api.binance.com/api/v1/aggTrades?symbol={0}&limit={1}&startTime={2}&endTime={3}", Uri.EscapeDataString(ticker.CurrencyPair), 1000, start, end);
byte[] data = ((Ticker)ticker).DownloadBytes(address);
if (data == null || data.Length == 0)
{
return(trades);
}
int parseIndex = 0;
List <string[]> items = JSonHelper.Default.DeserializeArrayOfObjects(data, ref parseIndex, AggTradesItem);
for (int i = items.Count - 1; i >= 0; i--)
{
string[] item = items[i];
DateTime time = FromUnixTime(FastValueConverter.ConvertPositiveLong(item[5]));
TradeInfoItem t = new TradeInfoItem(null, ticker);
bool isBuy = item[6][0] != 't';
t.AmountString = item[2];
t.Time = time;
t.Type = isBuy ? TradeType.Buy : TradeType.Sell;
trades.Add(t);
}
return(trades);
}
protected virtual void OnKlineItemRecv(Ticker ticker, string[] item)
{
long dt = FastValueConverter.ConvertPositiveLong(item[0]);
DateTime time = FromUnixTime(dt);
CandleStickIntervalInfo info = null;
for (int ci = 0; ci < AllowedCandleStickIntervals.Count; ci++)
{
CandleStickIntervalInfo i = AllowedCandleStickIntervals[ci];
if (i.Command == item[3])
{
info = i;
break;
}
}
if (ticker.CandleStickPeriodMin != info.Interval.TotalMinutes)
{
return;
}
//Debug.WriteLine(item[6] + " " + item[7] + " " + item[8] + " " + item[9]);
lock (ticker.CandleStickData) {
CandleStickData data = new CandleStickData();
data.Time = time;
data.Open = FastValueConverter.Convert(item[6]);
data.Close = FastValueConverter.Convert(item[7]);
data.High = FastValueConverter.Convert(item[8]);
data.Low = FastValueConverter.Convert(item[9]);
data.Volume = FastValueConverter.Convert(item[10]);
data.QuoteVolume = FastValueConverter.Convert(item[13]);
ticker.UpdateCandleStickData(data);
}
}
void OnIncrementalOrderBookUpdateRecv(Ticker ticker, byte[] bytes)
{
int startIndex = 0;
string[] updateId = JSonHelper.Default.StartDeserializeObject(bytes, ref startIndex, OrderBookStartItems);
long seqNumber = FastValueConverter.ConvertPositiveLong(updateId[0]);
if (seqNumber <= ticker.OrderBook.Updates.SeqNumber)
{
return;
}
const string bidString = "\"bids\":";
const string askString = "\"asks\":";
startIndex += bidString.Length + 1;
List <string[]> jbids = JSonHelper.Default.DeserializeArrayOfArrays(bytes, ref startIndex, 3);
startIndex += askString.Length + 1;
List <string[]> jasks = JSonHelper.Default.DeserializeArrayOfArrays(bytes, ref startIndex, 3);
long hackedNextSeqNumber = ticker.OrderBook.Updates.SeqNumber;
ticker.OrderBook.Updates.Push(hackedNextSeqNumber, ticker, jbids, jasks, null);
OnIncrementalUpdateRecv(ticker.OrderBook.Updates);
}
protected long GetServerTime()
{
string adress = "https://binance.com/api/v1/time";
MyWebClient client = GetWebClient();
try {
return(FastValueConverter.ConvertPositiveLong(client.DownloadString(adress)));
}
catch (Exception e) {
LogManager.Default.Log(e.ToString());
return((long)(DateTime.UtcNow - epoch).TotalMilliseconds);
}
}
void OnTradeHistoryItemRecv(Ticker ticker, string[] str)
{
TradeInfoItem item = new TradeInfoItem(null, ticker);
item.Id = FastValueConverter.ConvertPositiveInteger(str[3]);
item.RateString = str[4];
item.AmountString = str[5];
item.Time = FromUnixTime(FastValueConverter.ConvertPositiveLong(str[8]));
item.Type = str[9][0] == 't' ? TradeType.Sell : TradeType.Buy;
ticker.TradeHistory.Insert(0, item);
ticker.RaiseTradeHistoryAdd();
}
public override BindingList <CandleStickData> GetCandleStickData(Ticker ticker, int candleStickPeriodMin, DateTime startUtc, long periodInSeconds)
{
long startSec = (long)(startUtc.Subtract(epoch)).TotalSeconds;
long end = startSec + periodInSeconds;
CandleStickIntervalInfo info = AllowedCandleStickIntervals.FirstOrDefault(i => i.Interval.TotalMinutes == candleStickPeriodMin);
string address = string.Format("https://api.binance.com/api/v1/klines?symbol={0}&interval={1}&startTime={2}&endTime={3}&limit=10000",
Uri.EscapeDataString(ticker.CurrencyPair), info.Command, startSec * 1000, end * 1000);
byte[] bytes = null;
try {
bytes = GetDownloadBytes(address);
}
catch (Exception) {
return(null);
}
if (bytes == null || bytes.Length == 0)
{
return(null);
}
DateTime startTime = epoch;
BindingList <CandleStickData> list = new BindingList <CandleStickData>();
int startIndex = 0;
List <string[]> res = JSonHelper.Default.DeserializeArrayOfArrays(bytes, ref startIndex, 12);
if (res == null)
{
return(list);
}
foreach (string[] item in res)
{
CandleStickData data = new CandleStickData();
data.Time = startTime.AddMilliseconds(FastValueConverter.ConvertPositiveLong(item[0])).ToLocalTime();
data.Open = FastValueConverter.Convert(item[1]);
data.High = FastValueConverter.Convert(item[2]);
data.Low = FastValueConverter.Convert(item[3]);
data.Close = FastValueConverter.Convert(item[4]);
data.Volume = FastValueConverter.Convert(item[5]);
data.QuoteVolume = FastValueConverter.Convert(item[7]);
data.BuyVolume = FastValueConverter.Convert(item[9]);
data.SellVolume = data.Volume - data.BuyVolume;
data.BuySellVolume = data.BuyVolume - data.SellVolume;
list.Add(data);
}
//List<TradeInfoItem> trades = GetTradeVolumesForCandleStick(ticker, startSec * 1000, end * 1000);
//CandleStickChartHelper.InitializeVolumes(list, trades, ticker.CandleStickPeriodMin);
return(list);
}
protected override TradeInfoItem InitializeAccountTradeInfoItem(string[] item, Ticker ticker)
{
DateTime time = FromUnixTime(FastValueConverter.ConvertPositiveLong(item[13]));
TradeInfoItem t = new TradeInfoItem(null, ticker);
t.OrderNumber = item[5];
t.AmountString = item[7];
t.Time = time;
t.Type = String2TradeType(item[10]);
t.RateString = item[6];
t.IdString = item[3];
return(t);
}
protected override OpenedOrderInfo InitializeOpenedOrderItem(string[] item, Ticker ticker)
{
OpenedOrderInfo t = new OpenedOrderInfo(null, ticker);
t.OrderId = item[0];
t.Ticker = ticker;
t.ValueString = item[4];
t.AmountString = item[6];
t.TotalString = item[7];
t.Type = item[13][0] == 'B'? OrderType.Buy: OrderType.Sell;
t.Date = FromUnixTime(FastValueConverter.ConvertPositiveLong(item[19]));
return(t);
}
protected override TradeInfoItem InitializeTradeInfoItem(string[] item, Ticker ticker)
{
DateTime time = FromUnixTime(FastValueConverter.ConvertPositiveLong(item[4]));
TradeInfoItem t = new TradeInfoItem(null, ticker);
bool isBuy = item[4][0] != 't';
t.AmountString = item[2];
t.Time = time;
t.Type = isBuy ? TradeType.Buy : TradeType.Sell;
t.RateString = item[1];
t.IdString = item[0];
return(t);
}
protected internal override void OnRequestCompleted(MyWebClient myWebClient)
{
base.OnRequestCompleted(myWebClient);
if (XRateLimitLimit == 0)
{
IEnumerable <string> limit = myWebClient.ResponseHeaders.GetValues("X-RateLimit-Limit");
XRateLimitLimit = Convert.ToInt32(limit.First());
}
IEnumerable <string> remain = myWebClient.ResponseHeaders.GetValues("X-RateLimit-Remaining");
XRateLimitRemain = FastValueConverter.ConvertPositiveInteger(remain.First());
IEnumerable <string> resetTime = myWebClient.ResponseHeaders.GetValues("X-RateLimit-Reset");
XRateLimitReset = FastValueConverter.ConvertPositiveLong(resetTime.First());
}
public override bool UpdateTrades(Ticker ticker)
{
string address = string.Format("https://api.binance.com/api/v1/trades?symbol={0}&limit={1}",
Uri.EscapeDataString(ticker.CurrencyPair), 1000);
byte[] data = ((Ticker)ticker).DownloadBytes(address);
if (data == null || data.Length == 0)
{
return(false);
}
ticker.TradeHistory.Clear();
ticker.TradeStatistic.Clear();
int index = 0, parseIndex = 0;
List <string[]> items = JSonHelper.Default.DeserializeArrayOfObjects(data, ref parseIndex, TradeItemString);
ResizeableArray <TradeInfoItem> newItems = new ResizeableArray <TradeInfoItem>(items.Count);
for (int i = items.Count - 1; i >= 0; i--)
{
string[] item = items[i];
DateTime time = FromUnixTime(FastValueConverter.ConvertPositiveLong(item[3]));
int tradeId = FastValueConverter.ConvertPositiveInteger(item[0]);
TradeInfoItem t = new TradeInfoItem(null, ticker);
bool isBuy = item[4][0] != 't';
t.AmountString = item[2];
t.Time = time;
t.Type = isBuy ? TradeType.Buy : TradeType.Sell;
t.RateString = item[1];
t.Id = tradeId;
double price = t.Rate;
double amount = t.Amount;
t.Total = price * amount;
ticker.TradeHistory.Add(t);
newItems.Add(t);
index++;
}
if (ticker.HasTradeHistorySubscribers)
{
ticker.RaiseTradeHistoryChanged(new TradeHistoryChangedEventArgs()
{
NewItems = newItems
});
}
return(true);
}
void OnUpdateOrderBook(Ticker ticker, byte[] bytes)
{
int startIndex = 0;
string[] updateId = JSonHelper.Default.StartDeserializeObject(bytes, ref startIndex, OrderBookStartItems);
const string bidString = "\"bids\":";
const string askString = "\"asks\":";
startIndex += bidString.Length + 1;
List <string[]> jbids = JSonHelper.Default.DeserializeArrayOfArrays(bytes, ref startIndex, 3);
startIndex += askString.Length + 1;
List <string[]> jasks = JSonHelper.Default.DeserializeArrayOfArrays(bytes, ref startIndex, 3);
List <OrderBookEntry> bids = ticker.OrderBook.Bids;
List <OrderBookEntry> asks = ticker.OrderBook.Asks;
List <OrderBookEntry> iasks = ticker.OrderBook.AsksInverted;
bids.Clear();
asks.Clear();
iasks.Clear();
foreach (string[] item in jbids)
{
bids.Add(new OrderBookEntry()
{
ValueString = item[0], AmountString = item[1]
});
}
foreach (string[] item in jasks)
{
OrderBookEntry e = new OrderBookEntry()
{
ValueString = item[0], AmountString = item[1]
};
asks.Add(e);
iasks.Insert(0, e);
}
ticker.OrderBook.Updates.Clear(FastValueConverter.ConvertPositiveLong(updateId[0]) + 1);
ticker.OrderBook.UpdateEntries();
ticker.OrderBook.RaiseOnChanged(new IncrementalUpdateInfo());
ticker.RaiseChanged();
}
bool OnUpdateOrderBook(Ticker ticker, byte[] bytes)
{
if (bytes == null)
{
return(false);
}
int startIndex = 0; // skip {
List <string[]> items = JSonHelper.Default.DeserializeArrayOfObjects(bytes, ref startIndex, OrderBookItems);
ticker.OrderBook.BeginUpdate();
try {
List <OrderBookEntry> bids = ticker.OrderBook.Bids;
List <OrderBookEntry> asks = ticker.OrderBook.Asks;
List <OrderBookEntry> iasks = ticker.OrderBook.AsksInverted;
for (int i = 0; i < items.Count; i++)
{
string[] item = items[i];
OrderBookEntry entry = new OrderBookEntry();
entry.Id = FastValueConverter.ConvertPositiveLong(item[1]);
entry.ValueString = item[4];
entry.AmountString = item[3];
if (item[2][0] == 'S')
{
if (iasks != null)
{
iasks.Add(entry);
}
asks.Insert(0, entry);
}
else
{
bids.Add(entry);
}
}
}
finally {
ticker.OrderBook.IsDirty = false;
ticker.OrderBook.EndUpdate();
}
return(true);
}
void OnTradeHistoryItemRecv(Ticker ticker, string[] str)
{
TradeInfoItem item = new TradeInfoItem(null, ticker);
item.Id = FastValueConverter.ConvertPositiveInteger(str[3]);
item.RateString = str[4];
item.AmountString = str[5];
item.Time = FromUnixTime(FastValueConverter.ConvertPositiveLong(str[8]));
item.Type = str[9][0] == 't' ? TradeType.Sell : TradeType.Buy;
ticker.TradeHistory.Insert(0, item);
if (ticker.HasTradeHistorySubscribers)
{
TradeHistoryChangedEventArgs e = new TradeHistoryChangedEventArgs()
{
NewItem = item
};
ticker.RaiseTradeHistoryChanged(e);
}
}
protected override bool GetTradesCore(ResizeableArray <TradeInfoItem> list, Ticker ticker, DateTime start, DateTime end)
{
string address = string.Format("https://api.binance.com/api/v1/aggTrades?symbol={0}&limit={1}&startTime={2}&endTime={3}",
Uri.EscapeDataString(ticker.CurrencyPair), 1000, ToUnixTimestampMs(start), ToUnixTimestampMs(end));
byte[] data = ((Ticker)ticker).DownloadBytes(address);
if (data == null || data.Length == 0)
{
return(false);
}
int parseIndex = 0;
List <string[]> items = JSonHelper.Default.DeserializeArrayOfObjects(data, ref parseIndex, AggTradeItemString);
for (int i = 0; i < items.Count; i++)
{
string[] item = items[i];
DateTime time = FromUnixTimestampMs(FastValueConverter.ConvertPositiveLong(item[5]));
//if(time > end)
// break;
int tradeId = FastValueConverter.ConvertPositiveInteger(item[0]);
TradeInfoItem t = new TradeInfoItem(null, ticker);
bool isBuy = item[6][0] != 't';
t.AmountString = item[2];
t.Time = time;
t.Type = isBuy ? TradeType.Buy : TradeType.Sell;
t.RateString = item[1];
t.Id = tradeId;
double price = t.Rate;
double amount = t.Amount;
t.Total = price * amount;
if (list.Last() == null || list.Last().Time < time)
{
list.Add(t);
}
}
return(true);
}
protected virtual void OnKlineItemRecv(Ticker ticker, string[] item)
{
long dt = FastValueConverter.ConvertPositiveLong(item[0]);
DateTime time = FromUnixTime(dt);
CandleStickIntervalInfo info = AllowedCandleStickIntervals.FirstOrDefault(i => i.Command == item[3]);
if (ticker.CandleStickPeriodMin != info.Interval.TotalMinutes)
{
return;
}
Debug.WriteLine(item[6] + " " + item[7] + " " + item[8] + " " + item[9]);
lock (ticker.CandleStickData) {
CandleStickData data = ticker.GetOrCreateCandleStickData(time);
data.Open = FastValueConverter.Convert(item[6]);
data.Close = FastValueConverter.Convert(item[7]);
data.High = FastValueConverter.Convert(item[8]);
data.Low = FastValueConverter.Convert(item[9]);
data.Volume = FastValueConverter.Convert(item[10]);
data.QuoteVolume = FastValueConverter.Convert(item[13]);
ticker.RaiseCandleStickChanged();
}
}
bool UpdateOrderBook(Ticker ticker, byte[] bytes)
{
if (bytes == null)
{
return(false);
}
int startIndex = 0; // skip {
List <string[]> items = JSonHelper.Default.DeserializeArrayOfObjects(bytes, ref startIndex, OrderBookItems);
List <OrderBookEntry> bids = ticker.OrderBook.Bids;
List <OrderBookEntry> asks = ticker.OrderBook.Asks;
List <OrderBookEntry> iasks = ticker.OrderBook.AsksInverted;
foreach (string[] item in items)
{
OrderBookEntry entry = new OrderBookEntry();
entry.Id = FastValueConverter.ConvertPositiveLong(item[1]);
entry.ValueString = item[4];
entry.AmountString = item[3];
if (item[2][0] == 'S')
{
iasks.Add(entry);
asks.Insert(0, entry);
}
else
{
bids.Add(entry);
}
}
ticker.OrderBook.UpdateEntries();
return(true);
}
public long ReadPositiveInteger(byte[] bytes, ref int startIndex)
{
return(FastValueConverter.ConvertPositiveLong(bytes, ref startIndex));
}
protected internal override void OnOrderBookSocketMessageReceived(object sender, MessageReceivedEventArgs e)
{
base.OnOrderBookSocketMessageReceived(sender, e);
LastWebSocketRecvTime = DateTime.Now;
SocketConnectionInfo info = OrderBookSockets.FirstOrDefault(c => c.Key == sender);
if (info == null)
{
return;
}
Ticker t = info.Ticker;
if (t.CaptureData)
{
t.CaptureDataCore(CaptureStreamType.OrderBook, CaptureMessageType.Incremental, e.Message);
}
const string incrementalUpdateStartString = "{\"table\":\"orderBookL2\",\"action\":\"";
if (e.Message.StartsWith(incrementalUpdateStartString))
{
int index = incrementalUpdateStartString.Length;
if (e.Message[index] == 'u') // update
{
index = e.Message.IndexOf("[{");
List <string[]> jsItems = JSonHelper.Default.DeserializeArrayOfObjects(Encoding.ASCII.GetBytes(e.Message), ref index, UpdateItems);
foreach (string[] item in jsItems)
{
OrderBookEntryType entryType = item[2][0] == 'S' ? OrderBookEntryType.Ask : OrderBookEntryType.Bid;
t.OrderBook.ApplyIncrementalUpdate(entryType, OrderBookUpdateType.Modify, FastValueConverter.ConvertPositiveLong(item[1]), null, item[3]);
}
return;
}
//else if(e.Message[index] == 'i') { // insert
// index = e.Message.IndexOf("[{");
// List<string[]> jsItems = JSonHelper.Default.DeserializeArrayOfObjects(Encoding.ASCII.GetBytes(e.Message), ref index, InsertItems);
// foreach(string[] item in jsItems) {
// OrderBookEntryType entryType = item[2][0] == 'S' ? OrderBookEntryType.Ask : OrderBookEntryType.Bid;
// t.OrderBook.ApplyIncrementalUpdate(entryType, OrderBookUpdateType.Add, FastValueConverter.ConvertPositiveLong(item[1]), item[4], item[3]);
// }
// return;
//}
else if (e.Message[index] == 'd') // delete
{
index = e.Message.IndexOf("[{");
List <string[]> jsItems = JSonHelper.Default.DeserializeArrayOfObjects(Encoding.ASCII.GetBytes(e.Message), ref index, DeleteItems);
foreach (string[] item in jsItems)
{
OrderBookEntryType entryType = item[2][0] == 'S' ? OrderBookEntryType.Ask : OrderBookEntryType.Bid;
t.OrderBook.ApplyIncrementalUpdate(entryType, OrderBookUpdateType.Remove, FastValueConverter.ConvertPositiveLong(item[1]), null, null);
}
return;
}
}
JObject obj = JsonConvert.DeserializeObject <JObject>(e.Message);
JArray items = obj.Value <JArray>("data");
if (items == null)
{
return;
}
OrderBookUpdateType type = String2UpdateType(obj.Value <string>("action"));
lock (t.OrderBook.Bids) {
lock (t.OrderBook.Asks) {
if (type == OrderBookUpdateType.RefreshAll)
{
t.OrderBook.Clear();
t.OrderBook.BeginUpdate();
}
for (int i = 0; i < items.Count; i++)
{
JObject item = (JObject)items[i];
OrderBookEntryType entryType = item.Value <string>("side")[0] == 'S' ? OrderBookEntryType.Ask : OrderBookEntryType.Bid;
string rate = null;
if (type == OrderBookUpdateType.Add || type == OrderBookUpdateType.RefreshAll)
{
rate = item.Value <string>("price");
}
string size = null;
if (type != OrderBookUpdateType.Remove)
{
size = item.Value <string>("size");
}
t.OrderBook.ApplyIncrementalUpdate(entryType, type, item.Value <long>("id"), rate, size);
}
}
}
if (type == OrderBookUpdateType.RefreshAll)
{
t.OrderBook.EndUpdate();
}
}
internal void OnUpdateOrderBook(Ticker ticker, byte[] bytes)
{
int startIndex = 0;
string[] updateId = JSonHelper.Default.StartDeserializeObject(bytes, ref startIndex, OrderBookStartItems);
if (ticker.CaptureData)
{
ticker.CaptureDataCore(CaptureStreamType.OrderBook, CaptureMessageType.Snapshot, System.Text.ASCIIEncoding.Default.GetString(bytes));
}
const string bidString = "\"bids\":";
const string askString = "\"asks\":";
startIndex += bidString.Length + 1;
List <string[]> jbids = JSonHelper.Default.DeserializeArrayOfArrays(bytes, ref startIndex, 2);
startIndex += askString.Length + 1;
List <string[]> jasks = JSonHelper.Default.DeserializeArrayOfArrays(bytes, ref startIndex, 2);
ticker.OrderBook.BeginUpdate();
try {
List <OrderBookEntry> bids = ticker.OrderBook.Bids;
List <OrderBookEntry> asks = ticker.OrderBook.Asks;
List <OrderBookEntry> iasks = ticker.OrderBook.AsksInverted;
bids.Clear();
asks.Clear();
if (iasks != null)
{
iasks.Clear();
}
if (jbids != null)
{
for (int i = 0; i < jbids.Count; i++)
{
string[] item = jbids[i];
bids.Add(new OrderBookEntry()
{
ValueString = item[0], AmountString = item[1]
});
}
}
if (jasks != null)
{
for (int i = 0; i < jasks.Count; i++)
{
string[] item = jasks[i];
OrderBookEntry e = new OrderBookEntry()
{
ValueString = item[0], AmountString = item[1]
};
asks.Add(e);
if (iasks != null)
{
iasks.Insert(0, e);
}
}
}
ticker.OrderBook.Updates.Clear(FastValueConverter.ConvertPositiveLong(updateId[0]) + 1);
}
finally {
ticker.OrderBook.IsDirty = false;
ticker.OrderBook.EndUpdate();
}
ticker.RaiseChanged();
}
