private void WebSocketCallback(WebSocketStreamEventArgs args)
{
if (!Subscribers.ContainsKey(args.StreamName))
{
Logger?.LogDebug($"{nameof(BinanceWebSocketClient<TEventArgs>)}.{nameof(WebSocketCallback)} - Ignoring event for non-subscribed stream: \"{args.StreamName}\" [thread: {Thread.CurrentThread.ManagedThreadId}]");
return;
}
OnWebSocketEvent(args, Subscribers[args.StreamName]);
}
protected override void OnWebSocketEvent(WebSocketStreamEventArgs args, IEnumerable <Action <SymbolStatisticsEventArgs> > callbacks)
{
Logger?.LogDebug($"{nameof(SymbolStatisticsWebSocketClient)}: \"{args.Json}\"");
try
{
SymbolStatisticsEventArgs eventArgs;
if (args.Json.IsJsonArray())
{
// Simulate a single event time.
var eventTime = DateTime.UtcNow.ToTimestamp().ToDateTime();
var statistics = JArray.Parse(args.Json).Select(DeserializeSymbolStatistics).ToArray();
eventArgs = new SymbolStatisticsEventArgs(eventTime, args.Token, statistics);
}
else
{
var jObject = JObject.Parse(args.Json);
var eventType = jObject["e"].Value <string>();
if (eventType == "24hrTicker")
{
var eventTime = jObject["E"].Value <long>().ToDateTime();
var statistics = DeserializeSymbolStatistics(jObject);
eventArgs = new SymbolStatisticsEventArgs(eventTime, args.Token, statistics);
}
else
{
Logger?.LogWarning($"{nameof(SymbolStatisticsWebSocketClient)}.{nameof(OnWebSocketEvent)}: Unexpected event type ({eventType}).");
return;
}
}
try
{
if (callbacks != null)
{
foreach (var callback in callbacks)
{
callback(eventArgs);
}
}
StatisticsUpdate?.Invoke(this, eventArgs);
}
catch (OperationCanceledException) { }
catch (Exception e)
{
if (!args.Token.IsCancellationRequested)
{
Logger?.LogError(e, $"{nameof(SymbolStatisticsWebSocketClient)}: Unhandled aggregate trade event handler exception.");
}
}
}
catch (OperationCanceledException) { }
catch (Exception e)
{
if (!args.Token.IsCancellationRequested)
{
Logger?.LogError(e, $"{nameof(SymbolStatisticsWebSocketClient)}.{nameof(OnWebSocketEvent)}");
}
}
}
protected override void OnWebSocketEvent(WebSocketStreamEventArgs args, IEnumerable <Action <UserDataEventArgs> > callbacks)
{
var user = _listenKeys.First(_ => _.Value == args.StreamName).Key;
Logger?.LogDebug($"{nameof(UserDataWebSocketClient)}: \"{args.Json}\"");
try
{
var jObject = JObject.Parse(args.Json);
var eventType = jObject["e"].Value <string>();
var eventTime = jObject["E"].Value <long>();
// ReSharper disable once ConvertIfStatementToSwitchStatement
if (eventType == "outboundAccountInfo")
{
var commissions = new AccountCommissions(
jObject["m"].Value <int>(), // maker
jObject["t"].Value <int>(), // taker
jObject["b"].Value <int>(), // buyer
jObject["s"].Value <int>()); // seller
var status = new AccountStatus(
jObject["T"].Value <bool>(), // can trade
jObject["W"].Value <bool>(), // can withdraw
jObject["D"].Value <bool>()); // can deposit
var balances = jObject["B"]
.Select(entry => new AccountBalance(
entry["a"].Value <string>(), // asset
entry["f"].Value <decimal>(), // free amount
entry["l"].Value <decimal>())) // locked amount
.ToList();
var eventArgs = new AccountUpdateEventArgs(eventTime, args.Token, new AccountInfo(user, commissions, status, jObject["u"].Value <long>(), balances));
try
{
if (callbacks != null)
{
foreach (var callback in callbacks)
{
callback(eventArgs);
}
}
AccountUpdate?.Invoke(this, eventArgs);
}
catch (OperationCanceledException) { }
catch (Exception e)
{
if (!args.Token.IsCancellationRequested)
{
Logger?.LogError(e, $"{nameof(UserDataWebSocketClient)}: Unhandled account update event handler exception.");
}
}
}
else if (eventType == "executionReport")
{
var order = new Order(user);
FillOrder(order, jObject);
var executionType = ConvertOrderExecutionType(jObject["x"].Value <string>());
var rejectedReason = ConvertOrderRejectedReason(jObject["r"].Value <string>());
var newClientOrderId = jObject["c"].Value <string>();
if (executionType == OrderExecutionType.Trade) // trade update event.
{
var trade = new AccountTrade(
jObject["s"].Value <string>(), // symbol
jObject["t"].Value <long>(), // ID
jObject["i"].Value <long>(), // order ID
jObject["L"].Value <decimal>(), // price (price of last filled trade)
jObject["z"].Value <decimal>(), // quantity (accumulated quantity of filled trades)
jObject["n"].Value <decimal>(), // commission
jObject["N"].Value <string>(), // commission asset
jObject["T"].Value <long>(), // timestamp
order.Side == OrderSide.Buy, // is buyer
jObject["m"].Value <bool>(), // is buyer maker
jObject["M"].Value <bool>()); // is best price
var quantityOfLastFilledTrade = jObject["l"].Value <decimal>();
var eventArgs = new AccountTradeUpdateEventArgs(eventTime, args.Token, order, rejectedReason, newClientOrderId, trade, quantityOfLastFilledTrade);
try
{
if (callbacks != null)
{
foreach (var callback in callbacks)
{
callback(eventArgs);
}
}
TradeUpdate?.Invoke(this, eventArgs);
}
catch (OperationCanceledException) { }
catch (Exception e)
{
if (!args.Token.IsCancellationRequested)
{
Logger?.LogError(e, $"{nameof(UserDataWebSocketClient)}: Unhandled trade update event handler exception.");
}
}
}
else // order update event.
{
var eventArgs = new OrderUpdateEventArgs(eventTime, args.Token, order, executionType, rejectedReason, newClientOrderId);
try
{
if (callbacks != null)
{
foreach (var callback in callbacks)
{
callback(eventArgs);
}
}
OrderUpdate?.Invoke(this, eventArgs);
}
catch (OperationCanceledException) { }
catch (Exception e)
{
if (!args.Token.IsCancellationRequested)
{
Logger?.LogError(e, $"{nameof(UserDataWebSocketClient)}: Unhandled order update event handler exception.");
}
}
}
}
else
{
Logger?.LogWarning($"{nameof(UserDataWebSocketClient)}.{nameof(OnWebSocketEvent)}: Unexpected event type ({eventType}) - \"{args.Json}\"");
}
}
catch (OperationCanceledException) { }
catch (Exception e)
{
if (!args.Token.IsCancellationRequested)
{
Logger?.LogError(e, $"{nameof(UserDataWebSocketClient)}.{nameof(OnWebSocketEvent)}");
}
}
}
protected override void OnWebSocketEvent(WebSocketStreamEventArgs args, IEnumerable <Action <CandlestickEventArgs> > callbacks)
{
Logger?.LogDebug($"{nameof(CandlestickWebSocketClient)}: \"{args.Json}\"");
try
{
var jObject = JObject.Parse(args.Json);
var eventType = jObject["e"].Value <string>();
if (eventType == "kline")
{
//var symbol = jObject["s"].Value<string>();
var eventTime = jObject["E"].Value <long>();
var firstTradeId = jObject["k"]["f"].Value <long>();
var lastTradeId = jObject["k"]["L"].Value <long>();
var isFinal = jObject["k"]["x"].Value <bool>();
var candlestick = new Candlestick(
jObject["k"]["s"].Value <string>(), // symbol
jObject["k"]["i"].Value <string>()
.ToCandlestickInterval(), // interval
jObject["k"]["t"].Value <long>(), // open time
jObject["k"]["o"].Value <decimal>(), // open
jObject["k"]["h"].Value <decimal>(), // high
jObject["k"]["l"].Value <decimal>(), // low
jObject["k"]["c"].Value <decimal>(), // close
jObject["k"]["v"].Value <decimal>(), // volume
jObject["k"]["T"].Value <long>(), // close time
jObject["k"]["q"].Value <decimal>(), // quote asset volume
jObject["k"]["n"].Value <long>(), // number of trades
jObject["k"]["V"].Value <decimal>(), // taker buy base asset volume (volume of active buy)
jObject["k"]["Q"].Value <decimal>() // taker buy quote asset volume (quote volume of active buy)
);
var eventArgs = new CandlestickEventArgs(eventTime, args.Token, candlestick, firstTradeId, lastTradeId, isFinal);
try
{
if (callbacks != null)
{
foreach (var callback in callbacks)
{
callback(eventArgs);
}
}
Candlestick?.Invoke(this, eventArgs);
}
catch (OperationCanceledException) { }
catch (Exception e)
{
if (!args.Token.IsCancellationRequested)
{
Logger?.LogError(e, $"{nameof(CandlestickWebSocketClient)}: Unhandled candlestick event handler exception.");
}
}
}
else
{
Logger?.LogWarning($"{nameof(CandlestickWebSocketClient)}.{nameof(OnWebSocketEvent)}: Unexpected event type ({eventType}).");
}
}
catch (OperationCanceledException) { }
catch (Exception e)
{
if (!args.Token.IsCancellationRequested)
{
Logger?.LogError(e, $"{nameof(CandlestickWebSocketClient)}.{nameof(OnWebSocketEvent)}");
}
}
}
public async Task StreamAsync(CancellationToken token)
{
if (!token.CanBeCanceled)
{
throw new ArgumentException("Token must be capable of being in the canceled state.", nameof(token));
}
token.ThrowIfCancellationRequested();
if (Client.IsStreaming)
{
throw new InvalidOperationException($"{nameof(BinanceWebSocketStream)}: Already streaming ({nameof(IWebSocketClient)}.{nameof(IWebSocketClient.StreamAsync)} Task is not completed).");
}
try
{
_bufferBlock = new BufferBlock <string>(new DataflowBlockOptions
{
EnsureOrdered = true,
CancellationToken = token,
BoundedCapacity = DataflowBlockOptions.Unbounded,
MaxMessagesPerTask = DataflowBlockOptions.Unbounded
});
_actionBlock = new ActionBlock <string>(json =>
{
try
{
if (IsCombined)
{
var jObject = JObject.Parse(json);
var stream = jObject["stream"].Value <string>();
if (!_subscribers.ContainsKey(stream))
{
_logger?.LogDebug($"{nameof(BinanceWebSocketStream)}: No subscriber exists for stream: \"{stream}\" [thread: {Thread.CurrentThread.ManagedThreadId}]");
return; // ignore.
}
var args = new WebSocketStreamEventArgs(stream, jObject["data"].ToString(Formatting.None), token);
foreach (var callback in _subscribers[stream])
{
callback(args);
}
}
else
{
var args = new WebSocketStreamEventArgs(_subscribers.Keys.Single(), json, token);
foreach (var callback in _subscribers.Values.Single())
{
callback(args);
}
}
}
catch (OperationCanceledException) { }
catch (Exception e)
{
if (!token.IsCancellationRequested)
{
_logger?.LogError(e, $"{nameof(BinanceWebSocketStream)}: Unhandled {nameof(StreamAsync)} exception. [thread: {Thread.CurrentThread.ManagedThreadId}]");
}
}
},
new ExecutionDataflowBlockOptions
{
BoundedCapacity = 1,
EnsureOrdered = true,
//MaxMessagesPerTask = 1,
MaxDegreeOfParallelism = 1,
CancellationToken = token,
SingleProducerConstrained = true
});
_bufferBlock.LinkTo(_actionBlock);
var uri = IsCombined
? new Uri($"{BaseUri}/stream?streams={string.Join("/", _subscribers.Keys)}")
: new Uri($"{BaseUri}/ws/{_subscribers.Keys.Single()}");
Client.Message += OnClientMessage;
_logger?.LogInformation($"{nameof(BinanceWebSocketStream)}.{nameof(StreamAsync)}: \"{uri.AbsoluteUri}\" [thread: {Thread.CurrentThread.ManagedThreadId}]");
await Client.StreamAsync(uri, token)
.ConfigureAwait(false);
}
catch (OperationCanceledException) { }
catch (Exception e)
{
if (!token.IsCancellationRequested)
{
_logger?.LogError(e, $"{nameof(BinanceWebSocketStream)}.{nameof(StreamAsync)}: Failed. [thread: {Thread.CurrentThread.ManagedThreadId}]");
throw;
}
}
finally
{
Client.Message -= OnClientMessage;
_bufferBlock?.Complete();
_actionBlock?.Complete();
_logger?.LogInformation($"{nameof(BinanceWebSocketStream)}.{nameof(StreamAsync)}: Task complete. [thread: {Thread.CurrentThread.ManagedThreadId}]");
}
}
protected override void OnWebSocketEvent(WebSocketStreamEventArgs args, IEnumerable <Action <TradeEventArgs> > callbacks)
{
Logger?.LogDebug($"{nameof(TradeWebSocketClient)}: \"{args.Json}\"");
try
{
var jObject = JObject.Parse(args.Json);
var eventType = jObject["e"].Value <string>();
if (eventType == "trade")
{
var eventTime = jObject["E"].Value <long>().ToDateTimeK();
var trade = new Trade(
jObject["s"].Value <string>(), // symbol
jObject["t"].Value <long>(), // trade ID
jObject["p"].Value <decimal>(), // price
jObject["q"].Value <decimal>(), // quantity
jObject["b"].Value <long>(), // buyer order ID
jObject["a"].Value <long>(), // seller order ID
jObject["T"].Value <long>()
.ToDateTimeK(), // trade time
jObject["m"].Value <bool>(), // is buyer the market maker?
jObject["M"].Value <bool>()); // is best price match?
var eventArgs = new TradeEventArgs(eventTime, args.Token, trade);
try
{
if (callbacks != null)
{
foreach (var callback in callbacks)
{
callback(eventArgs);
}
}
Trade?.Invoke(this, eventArgs);
}
catch (OperationCanceledException) { }
catch (Exception e)
{
if (!args.Token.IsCancellationRequested)
{
Logger?.LogError(e, $"{nameof(TradeWebSocketClient)}: Unhandled aggregate trade event handler exception.");
}
}
}
else
{
Logger?.LogWarning($"{nameof(TradeWebSocketClient)}.{nameof(OnWebSocketEvent)}: Unexpected event type ({eventType}).");
}
}
catch (OperationCanceledException) { }
catch (Exception e)
{
if (!args.Token.IsCancellationRequested)
{
Logger?.LogError(e, $"{nameof(TradeWebSocketClient)}.{nameof(OnWebSocketEvent)}");
}
}
}
private void WebSocketCallback(WebSocketStreamEventArgs args)
{
OnWebSocketEvent(args, Subscribers.ContainsKey(args.StreamName) ? Subscribers[args.StreamName] : null);
}
protected abstract void OnWebSocketEvent(WebSocketStreamEventArgs args, IEnumerable <Action <TEventArgs> > callbacks);
protected override void OnWebSocketEvent(WebSocketStreamEventArgs args, IEnumerable <Action <DepthUpdateEventArgs> > callbacks)
{
Logger?.LogDebug($"{nameof(DepthWebSocketClient)}: \"{args.Json}\"");
try
{
var jObject = JObject.Parse(args.Json);
var eventType = jObject["e"]?.Value <string>();
DepthUpdateEventArgs eventArgs;
switch (eventType)
{
case null: // partial depth stream.
{
var symbol = args.StreamName.Split('@')[0].ToUpperInvariant();
// Simulate event time.
var eventTime = DateTime.UtcNow.ToTimestampK().ToDateTimeK();
var lastUpdateId = jObject["lastUpdateId"].Value <long>();
var bids = jObject["bids"].Select(entry => (entry[0].Value <decimal>(), entry[1].Value <decimal>())).ToArray();
var asks = jObject["asks"].Select(entry => (entry[0].Value <decimal>(), entry[1].Value <decimal>())).ToArray();
eventArgs = new DepthUpdateEventArgs(eventTime, args.Token, symbol, lastUpdateId, lastUpdateId, bids, asks);
break;
}
case "depthUpdate":
{
var symbol = jObject["s"].Value <string>();
var eventTime = jObject["E"].Value <long>().ToDateTimeK();
var firstUpdateId = jObject["U"].Value <long>();
var lastUpdateId = jObject["u"].Value <long>();
var bids = jObject["b"].Select(entry => (entry[0].Value <decimal>(), entry[1].Value <decimal>())).ToArray();
var asks = jObject["a"].Select(entry => (entry[0].Value <decimal>(), entry[1].Value <decimal>())).ToArray();
eventArgs = new DepthUpdateEventArgs(eventTime, args.Token, symbol, firstUpdateId, lastUpdateId, bids, asks);
break;
}
default:
Logger?.LogWarning($"{nameof(DepthWebSocketClient)}.{nameof(OnWebSocketEvent)}: Unexpected event type ({eventType}).");
return;
}
try
{
if (callbacks != null)
{
foreach (var callback in callbacks)
{
callback(eventArgs);
}
}
DepthUpdate?.Invoke(this, eventArgs);
}
catch (OperationCanceledException) { }
catch (Exception e)
{
if (!args.Token.IsCancellationRequested)
{
Logger?.LogError(e, $"{nameof(DepthWebSocketClient)}: Unhandled depth update event handler exception.");
}
}
}
catch (OperationCanceledException) { }
catch (Exception e)
{
if (!args.Token.IsCancellationRequested)
{
Logger?.LogError(e, $"{nameof(DepthWebSocketClient)}.{nameof(OnWebSocketEvent)}");
}
}
}