public async Task <BinanceExchangeInfo> GetAvailableSymbols()
{
using (var httpClient = new HttpClient())
{
BinanceExchangeInfo exchangeInfo = new BinanceExchangeInfo();
HttpRequestMessage request = new HttpRequestMessage(HttpMethod.Get, binanceExchInfo);
HttpResponseMessage response = await httpClient.SendAsync(request);
if (response.IsSuccessStatusCode)
{
var responseStr = await response.Content.ReadAsStringAsync();
exchangeInfo = JsonConvert.DeserializeObject <BinanceExchangeInfo>(responseStr);
}
return(exchangeInfo);
}
}
public async Task CollectStreamData(bool bestPricesForTopCurrencies, bool bookTickers, bool userStreamUpdates, bool continuousKlines,
int initMarketDataLimit,
string quoteAsset = "USDT", List <string> symbols = null)
{
if (IsCollectingStreams)
{
return;
}
using (var wsClient = new ClientWebSocket())
{
try
{
IsWholeMarketDataInitialized = false;
IsWholeMarketKlinesInitialized = false;
string channelsUrl = null;
List <string> usedSymbols = null;
if (symbols == null || symbols.Count == 0)
{
//IsScanningIndividualMiniTickers = false;
//channelsUrl = bestPricesForTopCurrencies && bookTickers ? "!miniTicker@arr/!bookTicker"
// : bestPricesForTopCurrencies ? "!miniTicker@arr"
// : bookTickers ? "!bookTicker" : null;
BinanceExchangeInfo exchInfo = await GetAvailableSymbols();
usedSymbols = exchInfo.Symbols.Where(s => s.QuoteAsset == quoteAsset && s.ContractType == "PERPETUAL")
.Select(s => $"{s.BaseAsset.ToLower()}{s.QuoteAsset.ToLower()}").ToList();
}
else
{
usedSymbols = symbols;
//IsScanningIndividualMiniTickers = true;
}
string miniTickersUrl = string.Join("/", symbols.Select(s => $"{s.ToLower()}@miniTicker"));
string bookTickersUrl = string.Join("/", symbols.Select(s => $"{s.ToLower()}@bookTicker"));
string klinesUrl = string.Join("/", symbols.Select(s => $"{s.ToLower()}_perpetual@continuousKline_1m"));
var channelsUrls = new List <string>();
if (bestPricesForTopCurrencies)
{
channelsUrls.Add(miniTickersUrl);
}
if (bookTickers)
{
channelsUrls.Add(bookTickersUrl);
}
if (continuousKlines)
{
channelsUrls.Add(klinesUrl);
}
channelsUrl = string.Join("/", channelsUrls);
string listenKey = null;
if (userStreamUpdates)
{
listenKey = await GetListenKey();
channelsUrl += $"{(!string.IsNullOrEmpty(channelsUrl) ? "/" : string.Empty)}{listenKey}";
}
if (channelsUrl == null)
{
return;
}
if (bestPricesForTopCurrencies)
{
await InitializeWholeMarketData(usedSymbols, initMarketDataLimit);
IsWholeMarketDataInitialized = true;
}
if (continuousKlines)
{
await InitializeWholeMarketKlines(usedSymbols, initMarketDataLimit);
IsWholeMarketKlinesInitialized = true;
}
UserStreamUpdates = new List <BinanceUserStreamResponse>();
LinesAddedInWholeMarketData = 0;
await wsClient.ConnectAsync(new Uri($"{binanceWsUrl}?streams={channelsUrl}"), CancellationToken.None);
IsCollectingStreams = true;
ArraySegment <byte> pingBuffer = System.Text.Encoding.UTF8.GetBytes(JsonConvert.SerializeObject(new { ping = "Pong?" }));
DateTime lastPingSent = DateTime.UtcNow;
DateTime lastUserStreamPingSent = DateTime.UtcNow;
Debug.WriteLine($"Debut collecte données Websocket pour symboles: {string.Join(", ", usedSymbols)}");
while (wsClient.State == WebSocketState.Open && IsCollectingStreams)
{
byte[] streamBuffer = new byte[_streamBufferSize];
WebSocketReceiveResult result = await wsClient.ReceiveAsync(streamBuffer, CancellationToken.None);
if (result.EndOfMessage)
{
string responseJson = System.Text.Encoding.UTF8.GetString(streamBuffer);
var rawStreamUpdate = JsonConvert.DeserializeObject(responseJson) as JToken;
if (rawStreamUpdate["stream"] != null && (Regex.Match(rawStreamUpdate["stream"].ToString(), @"\b\w*_perpetual@continuousKline_1m\b").Success) && continuousKlines)
{
TreatContinuousKline(rawStreamUpdate["data"].ToString(), usedSymbols);
}
else if (rawStreamUpdate["stream"] != null && (Regex.Match(rawStreamUpdate["stream"].ToString(), @"\b\w*@miniTicker\b").Success) && bestPricesForTopCurrencies)
{
TreatBestPricesForTopCurrencies(rawStreamUpdate["data"].ToString(), usedSymbols);
}
else if (rawStreamUpdate["stream"] != null && (Regex.Match(rawStreamUpdate["stream"].ToString(), @"\b\w*@bookTicker\b").Success) && bookTickers)
{
TreatRealTimeBookBestAskBids(rawStreamUpdate["data"].ToString());
}
else if (rawStreamUpdate["stream"] != null && userStreamUpdates && rawStreamUpdate["stream"].ToString() == listenKey)
{
TreatUserDataUpdates(rawStreamUpdate["data"].ToString());
}
else
{
Debug.WriteLine($"A ping frame? {responseJson} \n");
}
}
//if (lastPingSent < DateTime.UtcNow - TimeSpan.FromSeconds(PING_INTERVAL_IN_SEC))
//{
// await wsClient.SendAsync(pingBuffer, WebSocketMessageType.Text, true, CancellationToken.None);
// lastPingSent = DateTime.UtcNow;
//}
var utcNow = DateTime.UtcNow;
if (lastUserStreamPingSent < utcNow - TimeSpan.FromMinutes(KEEP_ALIVE_PING_USER_STREAM_DELAY_IN_MINS))
{
await SendUserStreamPing();
lastUserStreamPingSent = DateTime.UtcNow;
}
}
IsCollectingStreams = false;
}
catch (Exception ex)
{
Debug.WriteLine($"[{DateTime.UtcNow.ToString("dd-MM-yyyy HH:mm:ss")}]Erreur dans CollectStreamData: {ex.Message}");
SendFailedWSMail(ex.Message);
//throw ex;
}
}
}
//public List<SingleAssetPosition> OrdersFilled { get; set; }
public async Task StartBot()
{
CheckBotParameters();
IsBotRunning = true;
Debug.WriteLine($"[{DateTime.UtcNow.ToString("dd-MM-yyyy HH:mm:ss")}] Binance MS Bot démarré");
List <BinanceAccountBalance> accountBalances = await _binanceWsClient.GetAccountBalance();
InitPortfolioValue = accountBalances.First(x => x.Asset == "USDT").AvailableBalance;
PortfolioValues = new List <decimal>();
PortfolioValues.Add(InitPortfolioValue);
Debug.WriteLine($"Available balance: {InitPortfolioValue} usdt");
MarketMeanPrices = new List <decimal>();
CumulatedMarketPerf = 0.0m;
CumulatedPotfolioPerf = 0.0m;
PastTransactions = new List <BinanceTransaction>();
RealisedPNLs = new List <decimal>();
OrdersToProcess = new List <BinanceBotOrder>();
_binanceWsClient.SetMaxLinesWholeMarketData((_parameters.MovingAveragePeriods + 2) * _parameters.TimeWindowInMin);
ExchangeInfo = await _binanceWsClient.GetAvailableSymbols();
_binanceWsClient.UserStreamUpdateReceived += _binanceWsClient_UserStreamUpdateReceived;
if (!_parameters.DoPlaceMarketOrders)
{
_binanceWsClient.NewTickerReceived += _binanceWsClient_NewTickerReceived;
}
TradedSymbols = _parameters.TradedSymbols ?? ExchangeInfo.Symbols
.Where(s => s.ContractType == "PERPETUAL" && s.QuoteAsset.ToLower() == "usdt")
.Select(s => $"{s.BaseAsset.ToLower()}{s.QuoteAsset.ToLower()}").ToList();
Debug.WriteLine($"Traded symbols: {string.Join(" - ", TradedSymbols)}");
var task = Task.Run(async() => await _binanceWsClient.CollectStreamData(false, !_parameters.DoPlaceMarketOrders, true, true,
_parameters.TimeWindowInMin * (_parameters.MovingAveragePeriods + 2),
_parameters.QuoteAsset, TradedSymbols));
CurrentHoldBaseAssetPos = new Dictionary <string, SingleAssetPosition>();
foreach (var symbol in TradedSymbols)
{
CurrentHoldBaseAssetPos.Add(symbol, new SingleAssetPosition
{
Qty = 0.0m,
AvgEntryPrice = 0.0m,
Side = 0
});
}
LastMovingAveragesRatios = new Dictionary <string, IList <decimal?> >();
CurrRatios = new Dictionary <string, decimal?>();
IsBurninPeriod = true;
NbTradeCycles = 0;
LastMinuteTimeMark = 0;
if (IsBurninPeriod)
{
while (!_binanceWsClient.IsWholeMarketKlinesInitialized)
{
}
ActualTradedSymbols = _binanceWsClient.WholeMarketKlines.Keys
.Where(s => Math.Round(_parameters.FixedInvestedQuoteAssetQty / ((decimal)_binanceWsClient.WholeMarketKlines[s].Last().Kline.ClosePrice *(1 - 0.10m) * ((_parameters.MaxTakenRank - _parameters.MinTakenRank) * TradedSymbols.Count + 1)), ExchangeInfo.Symbols.FirstOrDefault(x => x.Symbol.ToLower() == s).QuantityPrecision, MidpointRounding.ToZero) > 0 &&
((decimal)Math.Pow(10, (-1) * ExchangeInfo.Symbols.FirstOrDefault(x => x.Symbol.ToLower() == s).QuantityPrecision)) * _binanceWsClient.WholeMarketKlines[s].Last().Kline.ClosePrice <= 1m)
.ToList();
Debug.WriteLine($"ACTUALLY traded symbols: {string.Join(" - ", ActualTradedSymbols)}");
if (_parameters.Leverage != null)
{
foreach (var tradedSymbol in ActualTradedSymbols)
{
await _binanceWsClient.ChangeLeverage(tradedSymbol, (int)_parameters.Leverage);
}
}
IsBurninPeriod = false;
}
MinutesSinceLastPosition = -1;
_binanceWsClient.WholeMarketKlinesUpdated += ComputeRatiosAndTakePosition;
}
